back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.

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The theory is interwoven with detailed numerical examples. It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one. With Smile, Inflation and Credit. The 2nd edition of this successful book has several new features.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new part. New chapters on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach.

Dynamic Term Structure Modeling: Sample text from the book prefacefeaturing a description by chapter. 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.

Overall, this is by far the best interest rate models book in the market. 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.

Examples of calibrations to real market data are now considered. 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. A special focus here is devoted to the pricing of inflation-linked derivatives.

### Interest Rate Models – Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books

User Review – Flag as inappropriate Necessity for a future quant, needed by bankers. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. Especially, I would recommend this to students ….

I also admire the style of writing: For those who have a sufficiently strong mathematical background, this book is a must. References to this book Dynamic Term Structure Modeling: The fact that the authors combine a strong mathematical finance background with expert practice knowledge they both work in a bank contributes hugely to its format.

In Mathematical Reviews, d. One has to address a number of practical issues that are often neglected in the theory, such as the choice of a satisfactory model, the calibration of the selected model to a set of market data, the implementation of efficient routines, and so on. The 2nd edition of this successful book has several new features. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

## Interest Rate Models Theory and Practice

Interest Rate Models – Theory and Practice: Interest Rate Models – Theory and Practice: The book will most likely become … one of the standard references in the area. A special focus here is devoted to the pricing of inflation-linked derivatives. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. This simultaneous attention to theory and practice is difficult to find in other available literature.

Examples of calibrations to real market data are now considered. Selected pages Title Page. This is the publisher briggo site. Its main goal is to construct some kind of bridge between theory and practice in this field.

### Damiano Brigo (Author of Interest Rate Models – Theory and Practice)

This is a very detailed course on interest rate models. My library Help Advanced Book Search. Account Options Sign in. 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.

Praise for the Second edition. A final Appendix “discussion” with a trader yields rahe into current and future development of the field. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. The three final new chapters of this second edition are devoted to credit.

If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice.

BrgioGloria M. 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.

Damiano BrigoFabio Mercurio. Places on the web where the book can be ordered. Account Options Sign in. This is the book on brogo rate models and should proudly stand on the bookshelf of every quantitative finance practitioner and student involved with interest rate models.

This is an area that is rarely covered by books on mathematical finance.

Beliaeva Limited preview – Examples of calibrations to real market data are now considered. Praise for the first edition. One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: