back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.

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If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. One has to address a number of practical issues that are often neglected in the theory, such as the choice of a satisfactory model, the calibration of the selected model to a set of market data, the implementation of efficient routines, and so on.

The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice. My library Help Advanced Book Search. In Mathematical Reviews, d. The three final new chapters of this second edition are devoted to credit. This is the publisher web site. Interest Rate Models – Theory and Practice: Account Options Sign in. Interest Rate Models – Theory and Practice: The text is no doubt my favourite on the subject of interest rate modelling.

### Interest Rate Models – Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books

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 Selected pages Title Page. The 2nd edition of this successful book has several new features.

The fast-growing interest for hybrid products has led to a new chapter. It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. My library Help Advanced Book Search. Examples of calibrations to real intdrest data are now considered. From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus.

Especially, I would recommend this to students ….

### Interest Rate Models – Theory and Practice by Mercurio, Damiano Brigo; Fabio

SpringerAug 9, – Mathematics – pages. Moreover, the book can help academics develop a feeling for the brugo problems in the market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. Interest Rate Models – Theory and Practice.

This is a very iinterest course on interest rate models. User Review – Flag as inappropriate Necessity for a future quant, needed by bankers.

For those who have a sufficiently strong mathematical background, this book is a must. This is an area that is rarely covered by books on mathematical finance. Praise for the first and second editionswhere short reviews or comments from colleagues are reported.

International Statistical Institute short book reviews. Modeos 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 New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility intereest.

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. 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. A special focus here is devoted to intfrest pricing of inflation-linked derivatives.

## Interest Rate Models Theory and Practice

With Smile, Inflation and Credit. A discussion of historical estimation inrerest the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption -volatility interpolation technique has been introduced.

Intrrest on the web where the book can be ordered. The theory is interwoven with detailed numerical examples.

The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact brio 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.

The fast-growing interest for hybrid products has led to new chapters. 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.

Kodels also admire the style of writing: New chapters on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach.

NawalkhaGloria M. Therefore, this book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. 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 2nd edition of this successful book has several new features. The book will most likely become … one of the standard references in the area. Extended table of contentswhere the extended table of contents is available. Beliaeva Limited preview –