back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.

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It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one. From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus.

The authors’ applied background allows for numerous comments on why certain models have interesg have not made it in practice. Account Options Sign in.

Interest Rate Models – Theory and Practice

A final Appendix “discussion” with a trader yields insight into current and future development of the field. New chapters 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 theory is interwoven with detailed moeels examples. This is an area that is rarely covered by books on mathematical finance. Counterparty risk in interest beigo payoff valuation is also considered, motivated by the recent Basel II framework developments. 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.

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Dynamic Term Structure Modeling: Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. Beliaeva Interezt preview – 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 The 2nd edition of this successful book has several moedls features.

The fast-growing interest for hybrid products has led to new chapters. This is the publisher web site. A special focus here is devoted to the pricing of inflation-linked derivatives. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

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.

Interest Rate Models Theory and Practice

My library Help Advanced Book Search. Praise for the first edition. 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 CDSCDS Options and Constant Maturity CDS – are discussed, building on the basic intrrest rate-models and market models introduced earlier for the default-free market.

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. Examples of calibrations to real market data are now considered.

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Damiano Brigo (Author of Interest Rate Models – Theory and Practice)

With Smile, Inflation and Credit. Inteerest those who have a sufficiently strong mathematical background, this book is a must. This is a very detailed course on interest rate models.

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.

Praise for the first and second editionswhere short reviews interext comments from colleagues are reported. Advanced undergraduate students, graduate students and researchers should benefit as well from seeing how some sophisticated mathematics can be used in concrete financial problems. Interest Rate Models – Theory and Practice: 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.

User Review – Flag as inappropriate Necessity for a future quant, needed by bankers. Overall, this is by far the best interest rate models book in the market.

Interest Rate Models – Theory and Practice. References to this book Dynamic Term Structure Modeling: 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.