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Book Cover
Author Brigo, Damiano, 1966-

Title Interest rate models : theory and practice : with smile, inflation, and credit / Damiano Brigo, Fabio Mercurio
Edition 2nd ed
Published Berlin ; New York : Springer, 2006


Description 1 online resource (liv, 981 pages) : illustrations
Series Springer finance
Springer finance
Contents Basic Definitions and No Arbitrage -- Definitions and Notation -- No-Arbitrage Pricing and Numeraire Change -- From Short Rate Models to HJM -- One-factor short-rate models -- Two-Factor Short-Rate Models -- The Heath-Jarrow-Morton (HJM) Framework -- Market Models -- The LIBOR and Swap Market Models (LFM and LSM) -- Cases of Calibration of the LIBOR Market Model -- Monte Carlo Tests for LFM Analytical Approximations -- The Volatility Smile -- Including the Smile in the LFM -- Local-Volatility Models -- Stochastic-Volatility Models -- Uncertain-Parameter Models -- Examples of Market Payoffs -- Pricing Derivatives on a Single Interest-Rate Curve -- Pricing Derivatives on Two Interest-Rate Curves -- Inflation -- Pricing of Inflation-Indexed Derivatives -- Inflation-Indexed Swaps -- Inflation-Indexed Caplets/Floorlets -- Calibration to market data -- Introducing Stochastic Volatility -- Pricing Hybrids with an Inflation Component -- Credit -- and Pricing under Counterparty Risk -- Intensity Models -- CDS Options Market Models
Summary Contains a calibration discussion of the basic LIBOR market model, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. This work also includes a discussion of historical estimation of the instantaneous correlation matrix and of rank reduction
Bibliography Includes bibliographical references (pages 951-966) and index
Notes English
Print version record
In Springer e-books
Subject Interest rates -- Mathematical models
Derivative securities -- Prices -- Mathematical models
Derivative securities -- Prices -- Mathematical models.
Taux d'intérêt -- Modèles mathématiques.
Instruments dérivés (Finances) -- Prix -- Modèles mathématiques.
Interest rates -- Mathematical models.
Derivative securities -- Prices -- Mathematical models.
Interest rates -- Mathematical models.
Genre/Form Statistics.
Form Electronic book
Author Mercurio, Fabio, 1966-
ISBN 9783540346043