Articles liés à Interest Rate Models: Theory and Practice: With Smile,...
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.
- ÉditeurSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Date d'édition2016
- ISBN 10 3662517434
- ISBN 13 9783662517437
- ReliureBroché
- Langueanglais
- Nombre de pages982
- Coordonnées du fabricantnon disponible
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Interest Rate Models - Theory and Practice
Edité par
Springer Berlin Heidelberg, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Neuf
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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 179601264
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Interest Rate Models Theory and Practice With Smile Inflation and Credit
Edité par
Springer Berlin Heidelberg, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
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Vendeur : Buchpark, Maidenhead, Berkshire, Royaume-Uni
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Etat : Very Good. Condition: Very Good, Pages: 1040, Size: 23.5x15.5x5.6. N° de réf. du vendeur 29159544/23
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Edité par
Springer, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Ancien ou d'occasion
Taschenbuch
Vendeur : Rheinberg-Buch Andreas Meier eK, Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Sehr gut. Gebraucht - Sehr gut Leichte Lagerspuren -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. 1038 pp. Englisch. N° de réf. du vendeur INF1001428898
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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 28159868-n
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Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit
Edité par
Springer Berlin Heidelberg, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. 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 9783662517437
Quantité disponible : 1 disponible(s)
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Interest Rate Models - Theory and Practice
Edité par
Springer Berlin Heidelberg Okt 2016, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. 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 9783662517437
Quantité disponible : 2 disponible(s)
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Interest Rate Models - Theory and Practice
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Okt 2016, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. 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 intoseveral 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 tonew 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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 1040 pp. Englisch. N° de réf. du vendeur 9783662517437
Quantité disponible : 2 disponible(s)
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Interest Rate Models : Theory and Practice: With Smile, Inflation and Credit
Edité par
Springer, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Ancien ou d'occasion
Couverture souple
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Etat : As New. Unread book in perfect condition. N° de réf. du vendeur 28159868
Quantité disponible : Plus de 20 disponibles
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Interest Rate Models : Theory and Practice: With Smile, Inflation and Credit
Edité par
Springer, 2016
ISBN 10 : 3662517434
ISBN 13 : 9783662517437
Ancien ou d'occasion
Couverture souple
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Etat : As New. Unread book in perfect condition. N° de réf. du vendeur 28159868
Quantité disponible : Plus de 20 disponibles