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＜電子ブック＞
Interest Rate Models Theory and Practice / by Damiano Brigo, Fabio Mercurio
(Springer Finance. ISSN:21950687)

版	1st ed. 2001.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2001
本文言語	英語
大きさ	XXXVII, 518 p. 34 illus : online resource
著者標目	*Brigo, Damiano author Mercurio, Fabio author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Probabilities FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory
一般注記	I. Models: Theory and Implementation -- 1. Definitions and Notation -- 2. No-Arbitrage Pricing and Numeraire Change -- 3. One-factor short-rate models -- 4. Two-Factor Short-Rate Models -- 5. The Heath-Jarrow-Morton (HJM) Framework -- 6. The LIBOR and Swap Market Models (LFM and LSM) -- 7. Cases of Calibration of the LIBOR Market Model -- 8. Monte Carlo Tests for LFM Analytical Approximations -- 9. Other Interest-Rate Models -- II. Pricing Derivatives in Practice -- 10. Pricing Derivatives on a Single Interest-Rate Curve -- 11. Pricing Derivatives on Two Interest-Rate Curves -- 12. Pricing Equity Derivatives under Stochastic Rates -- III. Appendices -- A. A Crash Introduction to Stochastic Differential Equations -- B. A Useful Calculation -- C. Approximating Diffusions with Trees -- D. Talking to the Traders -- References 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 HTTP:URL=https://doi.org/10.1007/978-3-662-04553-4

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