[Brigo and Mercurio()]. In german language I recommend. [Albrecher et al.( )Albrecher, Binder, and Mayer], which contains also a very readable. CIR++ (Shifted CIR model, Brigo & Mercurio): rt = xt + φ(t;α), dxt = k(θ − xt)dt + σ. √. xtdWt. In general other parameters can be chosen to be time–varying so as. With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo and Fabio Mercurio. The following information is available: Book Description from the .
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Account Options Sign in. 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 My library Help Advanced Book Search.
Interest Rate Models – Theory and Practice. Damiano BrigoFabio Mercurio.
SpringerAug 9, – Mathematics – pages. 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 btigo been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. 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.
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 merucrio 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.
Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. User Review – Flag as inappropriate Necessity for a future quant, needed by bankers.
Interest Rate Models – Theory and Practice: References to this book Dynamic Term Structure Modeling: NawalkhaGloria M. SotoNatalia A. Beliaeva Limited preview – Dynamic Term Structure Modeling: