back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.
|Published (Last):||9 July 2008|
|PDF File Size:||10.96 Mb|
|ePub File Size:||2.55 Mb|
|Price:||Free* [*Free Regsitration Required]|
Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books
His class is really fantastic as well as the book he wrote. But the Vasicek model allows negative interest rates and is mean reverting.
The three final new chapters of this second interset are devoted to credit. Detalhes do produto Formato: This book was read and studied between the dates of September and July Ample space in the book is devoted to a bgigo of this model, which is essentially one where one adds a “square root” to the diffusion coefficient.
The fact that the authors combine a strong pracice finance background with expert practice knowledge they both work in a bank contributes hugely to its format. Especially, I would recommend this to students …. The book is written very well, with calculation steps for the most part included in detail.
Compartilhe seus pensamentos com outros clientes. A special focus here is devoted to the pricing of inflation-linked derivatives. 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. 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 mmodels cash.
Professional Area of Damiano Brigo’s web site
The fast-growing interest for hybrid products has led to new chapters. The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice.
Examples of calibrations to real market data are now considered. Also discussed is a hybrid model where both interest rates and stochastic intensities xnd involved, and the authors show how to calibrate survival probabilities and discount factors separately when there is no correlation between the interest rates and intensities.
This is the publisher web site. International Statistical Institute short book reviews. I really enjoyed the experience having him as my Professor. The three final new chapters of this second edition are devoted to credit.
Places on the web rxte the book can be ordered. Fabozzi Series Book English Edition. Examples are given illustrating that not all can be, but interestt Flesaker-Hughston model is interesting also in that it does not iterest on possibly highly complex systems of stochastic differential equations for interest rate processes. Of particular importance in this discussion is the role of the Radon-Nikodym derivative, a concept that arises in measure theory, and also the use of Bayes rule for interestt expectations.
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.
Quantitative Credit Portfolio Management: Extended table of contentswhere the extended table of contents is available. 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 of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. This option is attainable by dealing only in a stock and a bond. The authors want to go beyond this model by searching for one that will reproduce any observed term structure of interest rates but that will preserve analytical tractability.
Visualizar ou modificar seus pedidos em sua conta. The lack of an economic interpretation for the default event is to be contrasted with term structure models, and the authors discuss this in detail.
Moreover, the book can help academics develop a feeling for the practical problems in the market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular.
For analytical modeling, the Vasicek model is usually the first one discussed in the literature, and this book is no exception. Application-based but it still contains useful proof of formulas.
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. Praise for the first edition.
Interest Rate Models Theory and Practice
This simultaneous attention to theory and practice is difficult to find in other available literature. Hughston, modele which is discussed in one of the appendices in the book.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: With Smile, Inflation and Credit.
Overall, this is by far the best interest rate models book in the market. I also admire the style of writing: The modeling of interest rates is now a multi-million dollar business, and this is likely to grow in the years ahead as worries about quantitative easing, government budgets, housing markets, and corporate borrowing have shown no sign of abatement. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of pracgice technique involved is analogous to interest-rate intereat, Credit Derivatives — mostly Credit Default Swaps CDSCDS Options and Constant Maturity CDS – are thery, building on the basic short rate-models and market models introduced earlier for the default-free market.
The three final new chapters of this second edition are devoted to credit. Leia mais Leia menos. Bfigo authors address the problem of large variance and the consequent large number of simulations needed if the standard error is just one basis point. A final Appendix “discussion” with a trader yields insight into current and future development of the field.
Rastreie seus pedidos recentes. These questions are invaluable for newcomers to the field, or those readers, such as this reviewer, who are not currently involved in financial modeling but are very curious as to the mathematical issues involved. One is led to ask in this case, and in general, whether interest rate data can serve as a proxy of default calibration, and vice versa.
Monte Carlo simulations, which are the bread and butter of financial modeling along with many other fields of modeling are used to simulate the default time. In particular, they show that the probability to default after a given time, i.