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. is based on the book. ”Interest Rate Models: Theory and Practice – with Smile, Inflation and Credit” by D. Brigo and F. Mercurio, Springer-Verlag, (2nd ed.

Author: Kigarn Moogukasa
Country: Iceland
Language: English (Spanish)
Genre: Science
Published (Last): 6 November 2008
Pages: 263
PDF File Size: 11.91 Mb
ePub File Size: 1.30 Mb
ISBN: 208-3-66578-491-4
Downloads: 51037
Price: Free* [*Free Regsitration Required]
Uploader: Muhn

Amazon Inspire Digital Educational Resources.

Interest Rate Models Theory and Practice

Continuous-Time Models Springer Finance. Add all three to Cart Add all three to List. The author did a good balance between theory and practice. A solid, widely accepted reference on fixed income modeling. A special focus here is devoted to the pricing of inflation-linked derivatives.

Amazon Second Chance Pass it on, trade it in, give it a second life. A special focus here is devoted brigp the pricing of inflation-linked derivatives.

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

The calibration must then be done simultaneously when this is not the case. Please try again later. Marcos Lopez de Prado.

It perfectly combines mathematical depth, historical perspective and practical relevance. There is also an excellent list of “theoretical” and “practical” questions in the preface that the authors use to motivate the book, along with a detailed summary of upcoming chapters. My library Help Advanced Book Search.


Fabio Mercurio

The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice. 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.

Amazon Music Stream millions of songs. Praise for the first edition. The authors give a brief overview of structural models, emphasizing their similarities to barrier-free option models, but do not treat them in detail in the book, since they do not have any analogues to interest rate models.

A final Appendix “discussion” with a trader yields insight into current and future development of the field. Stochastic Calculus for Finance I: One person found this helpful. Amazon Rapids Fun stories for kids on the go. One of the best Quant books. The authors show that a market is free of arbitrage if and only if there is a martingale measure, and that a market is complete if and only if the martingale measure is unique.

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 Thus the book can help quantitative analysts and advanced traders price and hedge interest-rate derivatives with a sound theoretical apparatus, explaining which models can be used in practice for some major concrete problems.

  AFMAN 15-111 PDF

Praise for the first and second editionswhere short reviews or comments from colleagues are reported.

Fabio Mercurio – Wikipedia

I also admire the style of writing: The book will most likely become … one of the standard references in the area. Positive interest short-rate models can therefore be used to do default modeling.

For analytical modeling, the Vasicek model is usually the first one discussed in the literature, and this book is no exception. Since Credit Derivatives are increasingly fundamental, and since in the inteest modeling framework jodels of the technique involved is analogous to interest-rate modeling, Credit Derivatives — mostly Credit Default Swaps CDSCDS Options and Constant Maturity CDS – are discussed, building on the basic short rate-models and market models introduced earlier for interfst default-free market.

This leads to the question as to what class of contingent claims a group of investors can actually attain, where a contingent claim is viewed as a nonnegative random variable which is measurable with respect to a filtration of a probability space.

Of particular importance is the appearance of copulas in chapter 21, which have been criticized lately for their alleged role in the “financial crisis”.