Articles liés à Interest Rate Models-Theory and Practice With Smile,...
Interest Rate Models-Theory and Practice With Smile, Inflation and Credit 2nd Edition - Couverture rigide
Synopsis
When implementing mathematical models for pricing interest rate derivatives one must address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book explains how models work and how to implement them for concrete pricing.
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, 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 a new chapter. 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.
The fast-growing interest for hybrid products has led to a new chapter, with a special focus devoted to the pricing of convertible bonds and inflation-linked derivatives.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
In implementing mathematical models for pricing interest rate derivatives one has to address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. This is an area that is rarely covered by books on mathematical finance. The book is meant both to help quantitative analysts and advanced traders price and hedge with a sound theoretical apparatus, and to encourage academics to develop a feeling for the practical problems in the interest rate market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. Advanced undergraduate students, graduate students and researchers should benefit from seeing how mathematics can be used in concrete financial problems.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Edité par
Springer, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
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Couverture rigide
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Etat : good. Befriedigend/Good: Durchschnittlich erhaltenes Buch bzw. Schutzumschlag mit Gebrauchsspuren, aber vollständigen Seiten. / Describes the average WORN book or dust jacket that has all the pages present. N° de réf. du vendeur M03540221492-G
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Interest rate models - theory and practice with smile, inflation and credit Damiano Brigo, Fabio Mercurio.
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Berlin, Springer, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Ancien ou d'occasion
Couverture rigide
Vendeur : Antiquariat Bookfarm, Löbnitz, Allemagne
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Hardcover. Ex-library with stamp and library-signature. GOOD condition, some traces of use. Ancien Exemplaire de bibliothèque avec signature et cachet. BON état, quelques traces d'usure. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. 90 BRI 2nd.ed 9783540221494 Sprache: Englisch Gewicht in Gramm: 1600. N° de réf. du vendeur 2498926
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) Brigo, Damiano and Mercurio, Fabio
Edité par
Springer, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Ancien ou d'occasion
Couverture rigide
Vendeur : online-buch-de, Dozwil, Suisse
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Hardcover. Etat : gebraucht; wie neu. N° de réf. du vendeur 508-2-1-13
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Interest Rate Models
Edité par
Springer Berlin Heidelberg, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Neuf
Couverture rigide
Vendeur : moluna, Greven, Allemagne
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Authors work as Head of Credit Models and Head of Financial Models at an Italian bank, this first-hand contact with trading gives them a practical insights on the subjectAccessible overview of interest rate models, book brings the practitione. N° de réf. du vendeur 4885389
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Vendeur : BennettBooksLtd, North Las Vegas, NV, Etats-Unis
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hardcover. Etat : New. In shrink wrap. Looks like an interesting title! N° de réf. du vendeur Q-3540221492
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Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit
Edité par
Springer Berlin Heidelberg, 2007
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Ancien ou d'occasion
Couverture rigide
Vendeur : Buchpark, Maidenhead, Berkshire, Royaume-Uni
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Etat : Fine. Condition: Fine | Pages: 1040 | Language: English | Product Type: Books. N° de réf. du vendeur 1667486/22
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
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Etat : New. In English. N° de réf. du vendeur ria9783540221494_new
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Interest Rate Models-theory and Practice : With Smile, Inflation and Credit
Edité par
Springer, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Ancien ou d'occasion
Couverture rigide
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-Uni
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Etat : As New. Unread book in perfect condition. N° de réf. du vendeur 3318415
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Interest Rate Models-theory and Practice : With Smile, Inflation and Credit
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-Uni
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Etat : New. N° de réf. du vendeur 3318415-n
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Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit
Edité par
Springer Berlin Heidelberg, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N° de réf. du vendeur 9783540221494
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