Interest rate models - theory and practice: with smile, inflation and credit
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2007
|
| Edition: | 2. ed., corr. 3. print. |
| Series: | Springer finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | LIV, 981 S. graph. Darst. |
| ISBN: | 3540221492 9783540221494 |
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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 |
| 246 | 1 | 3 | |a Interest rate models - theory and practice |
| 250 | |a 2. ed., corr. 3. print. | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2007 | |
| 300 | |a LIV, 981 S. |b 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 Zinsstrukturtheorie - Stochastisches Modell | |
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| 689 | 0 | 1 | |a Stochastisches Modell |0 (DE-588)4057633-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Mercurio, Fabio |e Verfasser |4 aut | |
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Record in the Search Index
| _version_ | 1804137111945740288 |
|---|---|
| adam_text | Table
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
2.3.1
2.4
2.5
2.6
2.6.1
2.7
2.8
2.9
XLIV Table of
Part
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 Table of
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
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
7.6.1
Ranks
Table
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
8.6.4
Negative Rank-Two Correlations
XLVIII Table of
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
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
12.6
12.7
12.8
Table
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
13.8.6
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
13.15 LFM:
13.15.1
13.15.2
13.15.3
13.15.4
L Table
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
16.5
Table
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
21.3.5
probabilities and implied hazard functions
LII
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
21.6.3
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
22.7.5
mated SSRD
22.7.6
Impact
22.7.7
22.7.8
22.7.9
22.7.10
22.8
22.8.1
Table
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.2 Balduzzi, Das,
A.3 Flesaker and
A.4 Rogers s Potential Approach
A.5 Markov Functional Models
B, Pricing Equity Derivatives under Stochastic Rates
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
LIV Table
В.3.2
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:
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
|
| adam_txt |
Table
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
2.3.1
2.4
2.5
2.6
2.6.1
2.7
2.8
2.9
XLIV Table of
Part
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 Table of
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
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
7.6.1
Ranks
Table
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
8.6.4
Negative Rank-Two Correlations
XLVIII Table of
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
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
12.6
12.7
12.8
Table
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
13.8.6
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
13.15 LFM:
13.15.1
13.15.2
13.15.3
13.15.4
L Table
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
16.5
Table
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
21.3.5
probabilities and implied hazard functions
LII
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
21.6.3
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
22.7.5
mated SSRD
22.7.6
Impact
22.7.7
22.7.8
22.7.9
22.7.10
22.8
22.8.1
Table
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.2 Balduzzi, Das,
A.3 Flesaker and
A.4 Rogers's Potential Approach
A.5 Markov Functional Models
B, Pricing Equity Derivatives under Stochastic Rates
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
LIV Table
В.3.2
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:
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 |
| any_adam_object | 1 |
| any_adam_object_boolean | 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 | BV022829105 |
| callnumber-first | H - Social Science |
| callnumber-label | HB539 |
| callnumber-raw | HB539 |
| callnumber-search | HB539 |
| callnumber-sort | HB 3539 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QC 210 QK 600 QK 628 SK 820 SK 980 |
| classification_tum | WIR 109f MAT 605f |
| ctrlnum | (OCoLC)254711591 (DE-599)BVBBV022829105 |
| 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 |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed., corr. 3. print. |
| format | Book |
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| id | DE-604.BV022829105 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:42:56Z |
| indexdate | 2024-07-09T21:07:06Z |
| institution | BVB |
| isbn | 3540221492 9783540221494 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016034358 |
| oclc_num | 254711591 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-945 DE-83 DE-11 |
| owner_facet | DE-355 DE-BY-UBR DE-19 DE-BY-UBM DE-91G DE-BY-TUM DE-945 DE-83 DE-11 |
| physical | LIV, 981 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| 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 Interest rate models - theory and practice 2. ed., corr. 3. print. Berlin [u.a.] Springer 2007 LIV, 981 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer finance Zinsstrukturtheorie - Stochastisches Modell Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Mercurio, Fabio Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016034358&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brigo, Damiano Mercurio, Fabio Interest rate models - theory and practice with smile, inflation and credit Zinsstrukturtheorie - Stochastisches Modell Stochastisches Modell (DE-588)4057633-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4117720-4 |
| title | Interest rate models - theory and practice with smile, inflation and credit |
| title_alt | Interest rate models - theory and practice |
| 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_exact_search_txtP | 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_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 | Zinsstrukturtheorie - Stochastisches Modell Stochastisches Modell (DE-588)4057633-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Zinsstrukturtheorie - Stochastisches Modell Stochastisches Modell Zinsstrukturtheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016034358&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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