Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) - Image 1

Price loading...

Springer Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Name: Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Brand: Springer

Econometrics

Price History & Forecast

No Price Data Available

Price history will appear here once data is collected from Amazon.

Price Distribution

No price data available for histogram

Description

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.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 3662517434
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 23 October 2016
Listed Since: 25 October 2016

Barcode

No barcode data available

Springer Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Price History & Forecast

No Price Data Available

Price Distribution

Description

Product Specifications

Barcode

Similar Products You Might Like

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Credit Risk Pricing Models: Theory and Practice (Springer Finance)

Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Martingale Methods in Financial Modelling: 36 (Stochastic Modelling and Applied Probability, 36)

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition): 1 (Economics: Current and Future Developments)

Term-Structure Models: A Graduate Course (Springer Finance)

Swaps and Other Derivatives: 480 (The Wiley Finance Series)

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest Rate Derivatives

Credit Derivatives: Trading, Investing, and Risk Management (The Wiley Finance Series)

Martingale Methods in Financial Modelling: 36 (Stochastic Modelling and Applied Probability, 36)

Credit Risk: Modeling, Valuation and Hedging (Springer Finance)

Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps

Derivatives: Theory and Practice of Trading, Valuation, and Risk Management (Springer Texts in Business and Economics)

Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Introduction to Credit Risk Modeling (Chapman and Hall/CRC Financial Mathematics Series)

Modern Pricing of Interest–Rate Derivatives – The LIBOR Market Model and Beyond

Understanding Credit Derivatives and Related Instruments

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide (Springer Finance)

Term-Structure Models: A Graduate Course (Springer Finance)

An Introduction to Derivative Securities, Financial Markets, and Risk Management: 2nd Edition

ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (2ND EDITION): 16 (Advanced Series on Statistical Science & Applied Probability)

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation (Applied Quantitative Finance)

Derivative Pricing and Credit Exposures Modelling: Python Prototype of XVA for Practitioners (2.0)