Interest rate models : theory and practice /
Damiano Brigo, Fabio Mercurio.
Bok Engelsk 2006 Damiano. Brigo,· Electronic books.
| Annen tittel | |
|---|---|
| Utgitt | Berlin : Springer , c2006
|
| Omfang | 1 online resource (1030 p.)
|
| Utgave | 2nd ed.
|
| Opplysninger | Description based upon print version of record.. - Front Matter; Definitions and Notation; No-Arbitrage Pricing and Numeraire Change; One-factor short-rate models; Two-Factor Short-Rate Models; The Heath-Jarrow-Morton (HJM) Framework; The LIBOR and Swap Market Models (LFM and LSM); Cases of Calibration of the LIBOR Market Model; Monte Carlo Tests for LFM Analytical Approximations; Including the Smile in the LFM; Local-Volatility Models; Stochastic-Volatility Models; Uncertain-Parameter Models; Pricing Derivatives on a Single Interest-Rate Curve; Pricing Derivatives on Two Interest-Rate Curves; Pricing of Inflation-Indexed Derivatives. - Inflation-Indexed SwapsInflation-Indexed Caplets/Floorlets; Calibration to market data; Introducing Stochastic Volatility; Pricing Hybrids with an Inflation Component; Introduction and Pricing under Counterparty Risk; Intensity Models; CDS Options Market Models; Back Matter. - Contains a calibration discussion of the basic LIBOR market model, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. This work also includes a discussion of historical estimation of the instantaneous correlation matrix and of rank reduction.
|
| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 3540221492. - 9783540221494
|
