Interest rate models - theory and practice: with smile, inflation and credit
Gespeichert in:
| Vorheriger Titel: | Brigo, Damiano Interest rate models |
|---|---|
| Hauptverfasser: | , |
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2006
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Springer finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | LIV, 981 S. Ill., graph. Darst. |
| ISBN: | 3540221492 9783540221494 |
Internformat
MARC
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| 100 | 1 | |a Brigo, Damiano |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Interest rate models - theory and practice |b with smile, inflation and credit |c Damiano Brigo ; Fabio Mercurio |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2006 | |
| 300 | |a LIV, 981 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Springer finance | |
| 650 | 4 | |a Interest rates - Mathematical models | |
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| 700 | 1 | |a Mercurio, Fabio |e Verfasser |4 aut | |
| 780 | 0 | 0 | |i Früher u.d.T. |a Brigo, Damiano |t Interest rate models |w (DE-604)BV013779173 |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-013113799 | ||
Datensatz im Suchindex
| _version_ | 1804133274966032384 |
|---|---|
| adam_text | Contents
Preface
Motivation
Aims, Readership and Book Structure
Final Word and Acknowledgments
Description of Contents by Chapter
Abbreviations and Notation
Part I. BASIC DEFINITIONS AND NO ARBITRAGE
1.
1.1
1.2
1.3
1.4
1.5
1.6
2.
2.1
2.2
2.3
(Brigo
2.3.1
2.4
2.5
2.6
2.6.1
2.7
2.8
2.9
XLIV
Part II. FROM SHORT RATE MODELS TO HJM
3.
3.1
3.2
3.2.1
3.2.2
3.2.3
3.2.4 Affine
3.2.5
3.3
3.3.1
3.3.2
3.3.3
3.4
3.5
3.5.1
3.5.2
3.6
3.7
3.8
3.8.1
3.8.2
3.8.3
3.8.4
3.9
3.9.1
3.9.2
3.9.3
3.9.4
3.9.5
3.10
3.11
3.11.1
3.11.2
3.11.3
3.11.4
Style Swaptions
3.12
3.12.1
3.12.2
3.12.3
3.13
3.13.1
Table
3.13.2
3.14
4.
4.1
4.2
4.2.1
4.2.2
4.2.3
Models
4.2.4
Bond
4.2.5
4.2.6
4.2.7
4.3
4.3.1
4.3.2
(LS)
4.3.3
CIR2
4.3.4
5.
5.1
5.2
5.3
5.4
Part III. MARKET MODELS
6.
6.1
6.2
6.3
6.3.1
Forward Rates
6.3.2
6.4
6.4.1
6.4.2
6.4.3
6.5
6.5.1
XLVI
6.5.2
6.6
6.7
6.7.1
6.7.2
6.8
6.9
6.9.1
6.9.2
values zeroing
6.9.3
6.10
6.11
6.12
6.13
6.14
6.15
6.16
6.17
6.18
Outputs (Fitting Parameters)?
6.19
6.19.1
6.19.2
6.20
6.21
6.21.1
6.21.2
7.
7.1
7.2
TABLE
7.3
mulation
7.4
in TABLE
7.4.1
7.5
7.5.1
7.5.2
swaptions. Motivations and plan
7.6
rithm
Table of Contents
7.6.1
Ranks
7.6.2
tion and Evolution of Volatilities
7.6.3
pact on the CCA
7.7
7.7.1
on Pure Market Data
7.7.2
7.7.3
tions volatilities quotes
7.7.4
stability
7.8
7.9
7.10
8.
8.1
(KLI)
8.1.1
information
8.1.2
family of distributions
8.1.3
8.1.4
8.2
8.3
8.4
8.4.1
8.4.2
8.4.3
neous Volatilities Depending only on Time to Maturity
8.5
8.6
8.6.1
neous Volatilities Depending only on Time to Matu¬
rity, Typical Rank-Two Correlations
8.6.2
Rank-Two Correlations
8.6.3
neous Volatilities Depending only on Time to Matu¬
rity, Some Negative Rank-Two Correlations
XLVIII
8.6.4
Negative Rank-Two Correlations
8.6.5
Correlations, Upwardly Shifted
8.7
Part IV. THE VOLATILITY SMILE
9.
9.1
9.2
10.
10.1
10.2
10.3
10.4
10.5
10.5.1
10.6
10.7
10.8
10.9
10.10
10.11
10.12
plied Volatility Skews
10.13
11.
11.1
11.2
11.3
11.4
11.5
12.
12.1
(SLMUP)
12.1.1
12.2
12.3
12.4
12.5
Table of Contents
12.6
12.7
12.8
12.9
Part V. EXAMPLES OF MARKET PAYOFFS
13.
13.1
13.2
13.2.1
13.2.2
13.3
13.4
13.4.1
13.4.2
13.5
13.5.1
LFM............................................555
13.6
13.7
13.7.1
13.7.2
13.8
13.8.1
13.8.2
13.8.3
justment
13.8.4
13.8.5
Rate Swaps
13.9
13.10
13.11
13.12
13.12.1
13.12.2
13.13 LFM
13.13.1
13.13.2
13.14LFM Pricing with Early Exercise and Possible Path Dependence584
13.15 LFM:
13.15.1
13.15.2
L Table
13.15.3
13.15.4
13.16
13.16.1
13.16.2
14.
14.1
14.1.1
14.1.2
and
14.1.3
nient Forward Measure
14.2
14.2.1
14.2.2
14.2.3
14.3
14.3.1
14.3.2
14.3.3
14.4
14.4.1
14.4.2
14.4.3
14.4.4
14.5
14.5.1
14.5.2
14.5.3
14.5.4
Part VI. INFLATION
15.
15.1
15.2
15.3
16.
16.1
16.2
16.3
16.4
Table
16.5
17.
17.1
17.2
17.3
18.
19.
19.1
19.2
19.2.1
19.2.2
19.3
20.
20.1
Part
21.
21.1
21.1.1
21.1.2
21.1.3
21.1.4
21.1.5
tions
21.1.6
21.1.7
21.1.8
21.1.9
21.1.10
21.1.11
21.2
21.2.1
21.3
21.3.1
21.3.2
21.3.3
Qt
21.3.4
LII
21.3.5
probabilities and implied hazard functions
21.3.6
CDS
21.3.7
gies with the
21.3.8
21.4
21.5
21.5.1
21.6
21.6.1
21.6.2
22.
22.1
22.2
22.2.1
22.2.2
22.2.3
22.3
22.4
event
22.5
formation
22.6
22.6.1
22.6.2
22.7
22.7.1
intensity and interest rates
22.7.2
rability
22.7.3
22.7.4
for simulating CIR processes
22.7.5
mated SSRD
22.7.6
Impact
22.7.7
22.7.8
22.7.9
22.7.10
Table of Contents
22.8
The JCIR(++) Model
22.8.1
22.8.2
22.8.3
22.8.4
22.8.5
22.8.6
22.8.7
22.9
23.
23.1
23.1.1
23.2
floaters
23.2.1
23.2.2
23.2.3
23.3
23.3.1
23.3.2
market model
23.3.3
dynamics
23.4
23.5
market model
23.5.1
23.5.2
23.5.3
Part
A. Other Interest-Rate Models
A.I Brennan and Schwartz s Model
A.
A.3 Flesaker and Hughston s Model
A.4 Rogers s Potential Approach
A.
LIV Table
B.
B.I The Short Rate and Asset-Price Dynamics
B.I.I The Dynamics under the Forward Measure
B.2 The Pricing of a European Option on the Given Asset
B.3 A More General Model
B.3.1 The Construction of an Approximating Tree for r
B.3.2 The Approximating Tree for
B.3.3 The Two-Dimensional Tree
C. A Crash Intro to Stochastic Differential Equations and
son
C.I From Deterministic to Stochastic Differential Equations
C.2 Ito s Formula
C.3 Discretizing SDEs for Monte Carlo: Euler and Milstein Schemes906
C.4 Examples
C.5 Two Important Theorems
C.6 A Crash Intro to
C.6.1 Time inhomogeneous
C.6.
C.6.3 Compound
C.6.
D. A Useful Calculation
E. A
F. Approximating Diffusions with Trees
G. Trivia and Frequently Asked Questions
H. Talking to the Traders
References
Index
D.
The
discussion of the basic
an analysis of the impact of the swaptions interpolation technique and of the
exogenous instantaneous correlation on the calibration outputs. A discussion of
historica1
has been added, and
technique has been introduced.
The old sections devoted to the smile issue in the UBOR market model have been
enlarged Into several new chapters. 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
The fast-growing Interest for hybrid products has led to new chapters. A special
focus here is devoted to the pricing of inflation-linked derivatives.
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
and CDS Options
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.
|
| any_adam_object | 1 |
| author | Brigo, Damiano Mercurio, Fabio |
| author_facet | Brigo, Damiano Mercurio, Fabio |
| author_role | aut aut |
| author_sort | Brigo, Damiano |
| author_variant | d b db f m fm |
| building | Verbundindex |
| bvnumber | BV019787977 |
| classification_rvk | QC 210 QK 600 QK 628 SK 820 SK 980 |
| classification_tum | WIR 109f MAT 605f |
| ctrlnum | (OCoLC)466207710 (DE-599)BVBBV019787977 |
| dewey-full | 332.80151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.80151 |
| dewey-search | 332.80151 |
| dewey-sort | 3332.80151 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV019787977 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:06:07Z |
| institution | BVB |
| isbn | 3540221492 9783540221494 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013113799 |
| oclc_num | 466207710 |
| open_access_boolean | |
| owner | DE-824 DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-29T DE-703 DE-20 DE-706 DE-92 DE-898 DE-BY-UBR DE-384 DE-11 DE-M347 DE-573 DE-1049 DE-473 DE-BY-UBG DE-188 |
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| physical | LIV, 981 S. Ill., graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer finance |
| spelling | Brigo, Damiano Verfasser aut Interest rate models - theory and practice with smile, inflation and credit Damiano Brigo ; Fabio Mercurio 2. ed. Berlin [u.a.] Springer 2006 LIV, 981 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer finance Interest rates - Mathematical models Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Mercurio, Fabio Verfasser aut Früher u.d.T. Brigo, Damiano Interest rate models (DE-604)BV013779173 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013113799&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013113799&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Brigo, Damiano Mercurio, Fabio Interest rate models - theory and practice with smile, inflation and credit Interest rates - Mathematical models Zinsstrukturtheorie (DE-588)4117720-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| subject_GND | (DE-588)4117720-4 (DE-588)4057633-4 |
| title | Interest rate models - theory and practice with smile, inflation and credit |
| title_auth | Interest rate models - theory and practice with smile, inflation and credit |
| title_exact_search | Interest rate models - theory and practice with smile, inflation and credit |
| title_full | Interest rate models - theory and practice with smile, inflation and credit Damiano Brigo ; Fabio Mercurio |
| title_fullStr | Interest rate models - theory and practice with smile, inflation and credit Damiano Brigo ; Fabio Mercurio |
| title_full_unstemmed | Interest rate models - theory and practice with smile, inflation and credit Damiano Brigo ; Fabio Mercurio |
| title_old | Brigo, Damiano Interest rate models |
| title_short | Interest rate models - theory and practice |
| title_sort | interest rate models theory and practice with smile inflation and credit |
| title_sub | with smile, inflation and credit |
| topic | Interest rates - Mathematical models Zinsstrukturtheorie (DE-588)4117720-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Interest rates - Mathematical models Zinsstrukturtheorie Stochastisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013113799&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013113799&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT brigodamiano interestratemodelstheoryandpracticewithsmileinflationandcredit AT mercuriofabio interestratemodelstheoryandpracticewithsmileinflationandcredit |