Interest Rate Models Theory And Practice

Author : Damiano Brigo,Fabio Mercurio
Publisher : Springer Science & Business Media
Page : 1016 pages
File Size : 45,5 Mb
Release : 2007-09-26
Category : Mathematics
ISBN : 9783540346043

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Interest Rate Models - Theory and Practice by Damiano Brigo,Fabio Mercurio Pdf

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.

Author : Damiano Brigo,Fabio Mercurio
Publisher : Springer Science & Business Media
Page : 544 pages
File Size : 45,8 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9783662045534

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Interest Rate Models Theory and Practice by Damiano Brigo,Fabio Mercurio Pdf

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.

Author : Lixin Wu
Publisher : CRC Press
Page : 325 pages
File Size : 53,8 Mb
Release : 2019-03-04
Category : Mathematics
ISBN : 9781351227407

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Interest Rate Modeling by Lixin Wu Pdf

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.

Author : Leif B. G. Andersen,Vladimir V. Piterbarg
Publisher : Unknown
Page : 1154 pages
File Size : 55,8 Mb
Release : 2010
Category : Business & Economics
ISBN : 0984422102

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Interest Rate Modeling by Leif B. G. Andersen,Vladimir V. Piterbarg Pdf

"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

Author : René Carmona,M R Tehranchi
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 45,6 Mb
Release : 2007-05-22
Category : Mathematics
ISBN : 9783540270676

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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by René Carmona,M R Tehranchi Pdf

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

Author : Anthony G. Cornyn
Publisher : Global Professional Publishi
Page : 458 pages
File Size : 55,8 Mb
Release : 1997
Category : Business & Economics
ISBN : 1888998040

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Interest Rate Risk Models by Anthony G. Cornyn Pdf

� Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model � Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use. Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.

Author : Andrew J. G. Cairns
Publisher : Princeton University Press
Page : 289 pages
File Size : 53,7 Mb
Release : 2018-06-05
Category : Business & Economics
ISBN : 9780691187426

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Interest Rate Models by Andrew J. G. Cairns Pdf

The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers--be they graduate students, academics, or practitioners--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models. The mathematical chapters begin with the simple binomial model that introduces many core ideas. But the main chapters work their way systematically through all of the main developments in continuous-time interest rate modelling. The book describes fully the broad range of approaches to interest rate modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models, and market models. Later chapters cover some related topics, including numerical methods, credit risk, and model calibration. Significantly, the book develops the martingale approach to bond pricing in detail, concentrating on risk-neutral pricing, before later exploring recent advances in interest rate modelling where different pricing measures are important.

Author : Damir Filipovic
Publisher : Springer Science & Business Media
Page : 259 pages
File Size : 47,8 Mb
Release : 2009-07-28
Category : Mathematics
ISBN : 9783540680154

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Term-Structure Models by Damir Filipovic Pdf

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Author : Antoon Pelsser
Publisher : Springer Science & Business Media
Page : 177 pages
File Size : 52,7 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9781447138884

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Efficient Methods for Valuing Interest Rate Derivatives by Antoon Pelsser Pdf

This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.

Author : C. Kenyon,R. Stamm
Publisher : Springer
Page : 280 pages
File Size : 51,7 Mb
Release : 2012-08-06
Category : Business & Economics
ISBN : 9781137268525

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Discounting, LIBOR, CVA and Funding by C. Kenyon,R. Stamm Pdf

Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.

Author : Riccardo Rebonato
Publisher : John Wiley & Son Limited
Page : 521 pages
File Size : 55,8 Mb
Release : 1998-05-05
Category : Business & Economics
ISBN : 0471979589

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Interest-Rate Option Models by Riccardo Rebonato Pdf

"Overall this book provides an excellent summary of the state of knowledge of term structure modelling. It combines a solid academic background with the practical experience of someone who works in the financial sector." Alan White and John Hull, A-J Financial Systems, Canada The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. It also presents a substantial new chapter devoted to this revolutionary modelling method. In this second edition, readers will also find important new data dealing with the securities markets and the probabilistic/stochastic calculus tools. Other changes include: a new chapter on the issues arising in the pricing of several classes of exotic interest-rate instruments; and insights from the BDT and the Brennan and Schwartz approaches which can be combined into a new class of "generalised models". Further details can be found on the links between mean-reversion and calibration for important classes of models.

Author : Rajna Gibson,François-Serge Lhabitant,Denis Talay
Publisher : Now Publishers Inc
Page : 171 pages
File Size : 52,5 Mb
Release : 2010
Category : Business & Economics
ISBN : 9781601983725

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Modeling the Term Structure of Interest Rates by Rajna Gibson,François-Serge Lhabitant,Denis Talay Pdf

Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Author : Daragh McInerney,Tomasz Zastawniak
Publisher : Cambridge University Press
Page : 171 pages
File Size : 55,6 Mb
Release : 2015-08-13
Category : Business & Economics
ISBN : 9781107002579

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Stochastic Interest Rates by Daragh McInerney,Tomasz Zastawniak Pdf

Designed for Master's students, this practical text strikes the right balance between mathematical rigour and real-world application.

Author : L. P. Hughston
Publisher : Unknown
Page : 408 pages
File Size : 49,9 Mb
Release : 1996
Category : Economics
ISBN : UIUC:30112046211899

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Vasicek and Beyond by L. P. Hughston Pdf

Author : Dariusz Gatarek,Przemyslaw Bachert,Robert Maksymiuk
Publisher : John Wiley & Sons
Page : 0 pages
File Size : 49,8 Mb
Release : 2007-01-23
Category : Business & Economics
ISBN : 0470014431

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The LIBOR Market Model in Practice by Dariusz Gatarek,Przemyslaw Bachert,Robert Maksymiuk Pdf

The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.