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Interest rate models : theory and practice : with smile, inflation, and credit /

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Bibliographic Details
Main Author: Brigo, Damiano, 1966-
Other Authors: Mercurio, Fabio, 1966-
Format: Book
Language:English
Published: Berlin ; New York : Springer, 2006.
Edition:2nd ed.
Series:Springer finance.
Subjects:
Interest rates > Mathematical models.
Derivative securities > Prices > Mathematical models.
Taux d'intérêt > Modèles mathématiques.
Instruments dérivés (Finances) > Prix > Modèles mathématiques.
Online Access:Publisher description
Table of Contents:
  • 1. Definitions and notation
  • 2. No-arbitrage pricing and Numeraire change
  • 3. One-factor short-rate models
  • 4. Two-factor short-rate models
  • 5. The Heath-Jarrow-Morton (HJM) framework
  • 6. The LIBOR and swap market models (LFM and LSM)
  • 7. Cases of calibration of the LIBOR market model
  • 8. Monte Carlo tests for LFM analytical approximations
  • 9. Including the smile in the LFM
  • 10 Local-volatility models
  • 11. Stochastic-volatility models
  • 12. Uncertain-parameter models
  • 13. Pricing derivatives on a single interest-rate curve
  • 14. Pricing derivatives on two interest-rate curves
  • 15. Pricing of inflation-indexed derivatives
  • 16. Inflation-indexed swaps
  • 17. Inflation-indexed caplets/floorlets
  • 18. Calibration to market data
  • 19. Introducing stochastic volatility
  • 20. Pricing hybrids with an inflation component
  • 21. Introduction and pricing under counterparty risk
  • 22. Intensity models
  • 23. CDS options market models
  • A. Other interest-rate models
  • B. Pricing equity derivatives under stochastic rates
  • C.A crash intro to stochastic differential equations and poisson processes
  • D.A useful calculation
  • E.A second useful calculation
  • F. Approximating diffusions with trees
  • G. Trivia and frequently asked questions
  • H. Talking to the traders.