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back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.

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Praise for the first and second editionswhere short reviews or comments from colleagues are reported. Examples of calibrations to real market data are now considered.

Points of Interest, book review for Risk Magazine, Rahe It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one. If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice.

Interest Rate Models – Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books

Therefore, this book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. 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 brkgo outputs. I also admire the style of writing: The 2nd edition of this successful book has several new features.

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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 special focus here is devoted to the pricing of inflation-linked derivatives. Places on the web where the book can be ordered. Interest Rate Brivo – Theory and Practice: The 2nd edition of this successful book has several new features.

Interest Rate Models – Theory and Practice

Examples of calibrations to real market data are now considered. One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: New sections on local-volatility dynamics, and on stochastic moxels models have been added, with a thorough treatment of the recently developed uncertain-volatility approach.

A special focus here is devoted to the pricing of inflation-linked derivatives. This is an area that is rarely covered by books on mathematical finance. My library Help Advanced Book Search.

The text is no doubt my favourite on the subject of interest rate modelling. The three final new chapters of this second edition are devoted to credit.

References to this book Dynamic Term Structure Modeling: From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus. This is the publisher iterest site. The 2nd edition of this successful book has several new features. This is the book on interest rate models and should proudly stand on the bookshelf of every quantitative finance practitioner and student involved with interest rate models.

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The theory is interwoven with detailed numerical examples. Mdels Options Sign in. 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 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.

The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice. NawalkhaGloria M. My library Help Advanced Book Search.

Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books

Praise for the Second edition. A clear benefit of the rage presented in this book is that practice can help to appreciate theory thus generating a feedback that is one of the most intriguing aspects of modeling and more generally of scientific investigation.

The three final new chapters of this second edition are devoted to credit. The book will most likely become … one of the standard references in the area.