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Interest Rate Models-Theory and Practice With Smile, Inflation and Credit 2nd Edition - Couverture rigide
Synopsis
Book by Brigo Damiano Mercurio Fabio
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.
- ÉditeurSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Date d'édition2006
- ISBN 10 3540221492
- ISBN 13 9783540221494
- ReliureRelié
- Langueanglais
- Numéro d'édition2
- Nombre de pages982
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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
Ancien ou d'occasion
Couverture rigide
Vendeur : Better World Books Ltd, Dunfermline, Royaume-Uni
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Etat : Very Good. Ships from the UK. Former library book; may include library markings. Used book that is in excellent condition. May show signs of wear or have minor defects. N° de réf. du vendeur 52190952-20
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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
Ancien ou d'occasion
Couverture rigide
Vendeur : Starx Products, North York, ON, Canada
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The book is in a good readable condition. The spine and cover shows minimal signs of wear and edges may have dents. N° de réf. du vendeur C21A-G-3540221492-083
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
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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 (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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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 : GreatBookPrices, Columbia, MD, Etats-Unis
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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 (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
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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Etat : New. N° de réf. du vendeur 3318415-n
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Interest Rate Models - Theory and Practice
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Aug 2006, 2006
ISBN 10 : 3540221492
ISBN 13 : 9783540221494
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 1040 pp. Englisch. N° de réf. du vendeur 9783540221494
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