Interest Rate Models

Damiano Brigo, Fabio Mercurio

518 pages, parution le 15/04/2001

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Résumé

In implementing mathematical models for pricing interest rate derivatives one has to address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. This is an area that is rarely covered by books on mathematical finance. The book is meant both to help quantitative analysts and advanced traders price and hedge with a sound theoretical apparatus, and to encourage academics to develop a feeling for the practical problems in the interest rate market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. Advanced undergraduate students, graduate students and researchers should benefit from seeing how mathematics can be used in concrete financial problems.

Contents

Preface
Abbreviations and notations

Models: Theory and implementation

Defintions and notations
No-arbitrage pricing and numeraire change
One-factor short-rate models
Two-factor short-rate models
The Heath-Jarrow-Morton (HJM) framework
The LIBOR and Swap market models (LFM and LSM)
cases of calibration of the LIBOR market model
Monte Carlo tests for LFM analytical approximations
Other interest-rate models

Pricing derivatives in practice

Pricing derivatives on a single interest-rate curve
Pricing derivatives on two interest-rate curves
Pricing equity derivatives under stochastic rates

Appendices

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Damiano Brigo, Fabio Mercurio
Parution	15/04/2001
Nb. de pages	518
Format	16 x 24
Couverture	Relié
Poids	919g
Intérieur	Noir et Blanc
EAN13	9783540417729