Interest Rate Models - Theory and Practice

Interest Rate Models - Theory and Practice

ISBN-10:
3540417729
ISBN-13:
9783540417729
Pub. Date:
08/09/2001
Publisher:
Springer-Verlag New York, LLC

Hardcover - Rent for

Select a Purchase Option (Older Edition)
  • purchase options

Temporarily Out of Stock Online


Overview

Interest Rate Models - Theory and Practice

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 a new chapter. New sections on local-volatility dynamics, and on shastic 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 a new chapter. 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.

Product Details

ISBN-13: 9783540417729
Publisher: Springer-Verlag New York, LLC
Publication date: 08/09/2001
Series: Finance Series
Edition description: Older Edition
Pages: 601
Product dimensions: 6.14(w) x 9.21(h) x 1.31(d)

Table of Contents

I Basic Definitions and No Arbitrage.- II From Short Rate Models to HJM.- III Market Models.- IV The Volatility Smile.- V Examples of Market Payoffs.- VI Inflation.- VII Credit.- VIII Appendices

Customer Reviews

Most Helpful Customer Reviews

See All Customer Reviews