Damiano Brigo at Imperial College London. Damiano Brigo Fabio Mercurio at Bloomberg L.P. Jan ; Interest Rate Models Theory and Practice; pp Basic concepts of stochastic modeling in interest rate theory, in particular the References. As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. Mercurio. Interest rate models—theory and practice. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science.
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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.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. 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 Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
With Smile, Inflation and Credit.
Account Options Sign in. Examples of calibrations to real market data are now considered.
Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books
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 CDSCDS Options and Constant Maturity CDS – are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market.
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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.
The 2nd edition of this successful book has several merccurio features. Damiano BrigoFabio Mercurio.
Fabio Mercurio – Wikipedia
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 three final new chapters of this second edition ajd devoted to credit. Interest Rate Models – Theory and Practice: The fast-growing interest for hybrid products has led to new chapters.