BRIGO MERCURIO INTEREST RATE MODELS THEORY AND PRACTICE PDF

It seems that you're in Germany. We have a dedicated site for Germany. Authors: Brigo , Damiano, Mercurio , Fabio. The 2nd edition of this successful book has several new features.

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We use cookies to give you the best possible experience. By using our website you agree to our use of cookies. We can notify you when this item is back in stock. Steven E. Attilio Meucci. Eckhard Platen. Eric Jondeau. Damir Filipovic. Gianluca Fusai. Antoon Pelsser. Monique Jeanblanc. Yue-Kuen Kwok. Robert J. Paul Malliavin. Home Contact us Help Free delivery worldwide.

Free delivery worldwide. Bestselling Series. Harry Potter. Popular Features. Home Learning. Notify me. Description The 2nd edition of this successful book has several new features.

The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.

The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps CDS , CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.

Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. Product details Format Hardback pages Dimensions x x Illustrations note Tables, black and white; LVI, p. Other books in this series. Add to basket. Risk and Asset Allocation Attilio Meucci.

Term-Structure Models Damir Filipovic. Mathematics of Financial Markets Robert J. Table of contents Basic Definitions and No Arbitrage. It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical finance background with expert practice knowledge they both work in a bank contributes hugely to its format.

I also admire the style of writing: at the same time concise and pedagogically fresh. The authors' applied background allows for numerous comments on why certain models have or have not made it in practice.

The theory is interwoven with detailed numerical examples For those who have a sufficiently strong mathematical background, this book is a must. The authors found a good approach to present a mathematically demanding area in a very clear, understandable way. The book will most likely become If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice. Especially, I would recommend this to students Overall, this is by far the best interest rate models book in the market.

Its main goal is to construct some kind of bridge between theory and practice in this field. From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus. Advanced undergraduate students, graduate students and researchers should benefit from reading this book and seeing how some sophisticated mathematics can be used in concrete financial problems.

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Interest Rate Models — Theory and Practice

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.

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Interest Rate Models - Theory and Practice

We use cookies to give you the best possible experience. By using our website you agree to our use of cookies. We can notify you when this item is back in stock. Steven E. Attilio Meucci. Eckhard Platen.

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Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit

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