Interest Rate Models Theory and Practice:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2001
|
| Schriftenreihe: | Springer Finance
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 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 real market data are now considered. 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. 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 |
| Beschreibung: | 1 Online-Ressource (XXXVII, 518 p) |
| ISBN: | 9783662045534 9783662045558 |
| ISSN: | 1616-0533 |
| DOI: | 10.1007/978-3-662-04553-4 |
Internformat
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Datensatz im Suchindex
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662045534 9783662045558 |
| issn | 1616-0533 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027858729 |
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| spelling | Brigo, Damiano Verfasser aut Interest Rate Models Theory and Practice by Damiano Brigo, Fabio Mercurio Berlin, Heidelberg Springer Berlin Heidelberg 2001 1 Online-Ressource (XXXVII, 518 p) txt rdacontent c rdamedia cr rdacarrier Springer Finance 1616-0533 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 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 real market data are now considered. 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. 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 Mathematics Finance Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Mathematik 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 1\p DE-604 Mercurio, Fabio Sonstige oth https://doi.org/10.1007/978-3-662-04553-4 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Brigo, Damiano Interest Rate Models Theory and Practice Mathematics Finance Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Mathematik 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 |
| title_auth | Interest Rate Models Theory and Practice |
| title_exact_search | Interest Rate Models Theory and Practice |
| title_full | Interest Rate Models Theory and Practice by Damiano Brigo, Fabio Mercurio |
| title_fullStr | Interest Rate Models Theory and Practice by Damiano Brigo, Fabio Mercurio |
| title_full_unstemmed | Interest Rate Models Theory and Practice by Damiano Brigo, Fabio Mercurio |
| title_short | Interest Rate Models Theory and Practice |
| title_sort | interest rate models theory and practice |
| topic | Mathematics Finance Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Mathematik Stochastisches Modell (DE-588)4057633-4 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Quantitative Finance Probability Theory and Stochastic Processes Mathematik Stochastisches Modell Zinsstrukturtheorie |
| url | https://doi.org/10.1007/978-3-662-04553-4 |
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