Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. New sections on local-volatility dynamics, and on stochastic volatility models Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. Damiano Brigo, Fabio Mercurio. Counterparty risk in interest rate payoff valuation is also considered, motivated Interest Rate Models Theory and Practice. By Damiano Brigo, Fabio Mercurio.
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Moreover, the book can help academics develop a feeling for the practical problems in the market that can mervurio solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. The authors unfortunately do not include a discussion on how to calibrate this model to market data, but instead delegate it to the references.
Add all three to Cart Add all three to List. The fast-growing interest for hybrid products has led to a new chapter. There is also an excellent list of “theoretical” and “practical” mercurlo in the preface that the authors use to motivate the book, along with a detailed summary of upcoming chapters.
Praise for the Second edition. 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 Advanced undergraduate students, graduate students and researchers should benefit as well from seeing how some sophisticated mathematics can be used in concrete financial problems.
SpringerAug 9, – Mathematics – pages. One of these, the Cox-Ingersoll-Ross CIR model, is analytically tractable and preserves the positivity of the instantaneous short rate.
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EconPapers: Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice
A Graduate Course Springer Finance. There’s a problem loading this menu right now. Poisson processes, used heavily in network modeling and queuing theory, are discussed here in the authors’ elaboration of intensity models, along with Cox processes where the intensity is stochastic. The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice.
Amazon Rapids Fun iinterest for kids on the go. Really worth buying if you are in to interest models! I really, really like this book.
The book should be a brigl reference for quants and traders. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. Ample space in the book is devoted to a discussion of this model, which is essentially one where one adds a “square root” to the diffusion coefficient.
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Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books
One is led to ask in this case, and in general, whether interest rate ratf can serve as a proxy of default calibration, and vice versa.
Review From the reviews: There was a problem filtering reviews right now. Therefore, this book aims both at explaining rigorously how models work in theory and at emrcurio how to implement them for concrete pricing. The rest of the book I haven’t read yet. Learn more about Amazon Giveaway.
The 2nd edition of this successful book has several new features. The fact that the authors combine a strong mathematical finance background with expert practice knowledge they both work in a bank contributes hugely to its format. It was primarily the interest of this reviewer in analytical models rather than Monte Carlo simulations, even though there is a thorough discussion of the latter in this book, including the most important topic of the standard error estimation in simulation models.
A clear benefit of the approach presented in this book is that practice can help to appreciate theory thus generating a feedback that is one of the most intriguing aspects of modeling and more generally of scientific investigation. AmazonGlobal Ship Orders Internationally. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new part.
The author did a good balance between theory and practice. This is the book on interest rate models and should proudly stand on the bookshelf of every quantitative finance practitioner and student involved with interest rate models.
Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice
Would you like to tell us about a lower price? Points of Interest, book review for Risk Magazine, November Extended table of contentswhere the extended table of contents is available.
Places on the web where the book can be ordered. Withoutabox Submit to Film Festivals. Amazon Renewed Refurbished products with a warranty. All changes in the value of the portfolio can be shown to be entirely due to capital gains, with none resulting from the withdrawal or infusion of cash. Mercrio Mathematical Reviews, d.
One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: The 2nd edition of this successful book has several new features.