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Interest Rate Models - Theory and Practice - 9783662517437
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Located in: Aldershot, United Kingdom
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Item specifics
- Condition
- Book Title
- Interest Rate Models - Theory and Practice
- ISBN
- 9783662517437
- Publication Year
- 2016
- Type
- Textbook
- Format
- Paperback
- Language
- English
- Publication Name
- Interest Rate Models-Theory and Practice: with Smile, Inflation and Credit
- Item Height
- 235mm
- Publisher
- Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
- Item Width
- 155mm
- Subject
- Accounting, Government, Mathematics
- Item Weight
- 1541g
- Number of Pages
- 982 Pages
About this product
Product Information
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 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 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 Identifiers
Publisher
Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
ISBN-13
9783662517437
eBay Product ID (ePID)
24046658151
Product Key Features
Publication Name
Interest Rate Models-Theory and Practice: with Smile, Inflation and Credit
Format
Paperback
Language
English
Subject
Accounting, Government, Mathematics
Publication Year
2016
Type
Textbook
Number of Pages
982 Pages
Dimensions
Item Height
235mm
Item Width
155mm
Item Weight
1541g
Additional Product Features
Series Title
Springer Finance
Country/Region of Manufacture
Germany
Item description from the seller
Business seller information
Value Added Tax Number:
- GB 976952259
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eBay item number:314132478802
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