Economics/Finances Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (3540221492)

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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

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.

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	Economics/Finances Measuring and Controlling Interest Rate and Credit Risk Measuring and Controlling Interest Rate and Credit Risk Publisher: Wiley \| Pages: 304 \| 2003-05-16 \| ISBN: 0471268062 \| PDF \| 6 MBProduct Description:Measuring and Controlling Interest Rate and Credit Risk provides keys to using deri ...
	Economics/Finances Measuring and Controlling Interest Rate and Credit Risk (repost) Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry, "Measuring and Controlling Interest Rate and Credit Risk" Wiley \| 2003 \| ISBN: 0471268062 \| 304 pages \| PDF \| 8,8 MB Measuring and Controlling Interest Rate and Credit Risk, Second Editio ...
	Economics/Finances Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice Marcus Schulmerich, "Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice" Springer; 1 edition (September 13, 2005) \| ISBN-10: 3540261915 \| 357 Pages \| PDF \| 22,4 MB This book analyzes real options valua ...
	Economics/Finances Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Repost) Interest Rate Models - Theory and Practice: With Smile, Inflation and CreditPublisher:Springer (2007-08) \| ISBN-10: 3540221492 \| PDF \| 5.3 Mb \| 981 pagesThe 2nd edition of this successful book has several new features. The calibration discu ...
	Technical Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) Author: Damiano BrigoPublisher: SpringerPublish Date: September 26, 2007ISBN: 3540221492Pages: 981Hardcover: 981 pagesPublisher: Springer; 2nd edition (September 26, 2007)Language: EnglishISBN-10: 3540221492ISBN-13: 978-354022149 ReviewFro ...
	Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) Author: Riccardo RebonatoPublisher: John Wiley & Sons (1998)Binding: Hardcover, 546 pagespricer: $125.00ISBN-10: 0471979589editorialreviewsThe modelling of exotic interest-rate options is such an important and fast-moving area, that the ...

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	Economics/Finances Measuring and Controlling Interest Rate and Credit Risk Measuring and Controlling Interest Rate and Credit Risk Publisher: Wiley \| Pages: 304 \| 2003-05-16 \| ISBN: 0471268062 \| PDF \| 6 MBProduct Description:Measuring and Controlling Interest Rate and Credit Risk provides keys to using deri ...
	Economics/Finances Measuring and Controlling Interest Rate and Credit Risk (repost) Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry, "Measuring and Controlling Interest Rate and Credit Risk" Wiley \| 2003 \| ISBN: 0471268062 \| 304 pages \| PDF \| 8,8 MB Measuring and Controlling Interest Rate and Credit Risk, Second Editio ...
	Economics/Finances Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice Marcus Schulmerich, "Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice" Springer; 1 edition (September 13, 2005) \| ISBN-10: 3540261915 \| 357 Pages \| PDF \| 22,4 MB This book analyzes real options valua ...
	Economics/Finances Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Repost) Interest Rate Models - Theory and Practice: With Smile, Inflation and CreditPublisher:Springer (2007-08) \| ISBN-10: 3540221492 \| PDF \| 5.3 Mb \| 981 pagesThe 2nd edition of this successful book has several new features. The calibration discu ...
	Technical Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) Author: Damiano BrigoPublisher: SpringerPublish Date: September 26, 2007ISBN: 3540221492Pages: 981Hardcover: 981 pagesPublisher: Springer; 2nd edition (September 26, 2007)Language: EnglishISBN-10: 3540221492ISBN-13: 978-354022149 ReviewFro ...
	Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) Author: Riccardo RebonatoPublisher: John Wiley & Sons (1998)Binding: Hardcover, 546 pagespricer: $125.00ISBN-10: 0471979589editorialreviewsThe modelling of exotic interest-rate options is such an important and fast-moving area, that the ...

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