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The Resource Interest rate models : theory and practice, Damiano Brigo, Fabio Mercurio

Interest rate models : theory and practice, Damiano Brigo, Fabio Mercurio

Label
Interest rate models : theory and practice
Title
Interest rate models
Title remainder
theory and practice
Statement of responsibility
Damiano Brigo, Fabio Mercurio
Creator
Contributor
Subject
Language
eng
Summary
This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporates considerable new material, including sections on local-volatility dynamics, and on stochastic volatility models
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1966-
http://library.link/vocab/creatorName
Brigo, Damiano
Dewey number
332.8/2/015118
Illustrations
illustrations
Index
index present
LC call number
HB539
LC item number
.B785 2001
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1966-
http://library.link/vocab/relatedWorkOrContributorName
Mercurio, Fabio
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Interest rates
  • Derivative securities
Label
Interest rate models : theory and practice, Damiano Brigo, Fabio Mercurio
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages [501]-508) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 4.
  • Two-Factor Short-Rate Models.
  • 5.
  • The Heath-Jarrow-Morton (HJM) Framework.
  • 6.
  • The LIBOR and Swap Market Models (LFM and LSM).
  • 7.
  • Cases of Calibration of the LIBOR Market Model.
  • 8.
  • Monte Carlo Tests for LFM Analytical Approximations.
  • Pt. I.
  • 9.
  • Other Interest-Rate Models
  • Pt. II.
  • Pricing Derivatives in Practice.
  • 10.
  • Pricing Derivatives on a Single Interest-Rate Curve.
  • 11.
  • Pricing Derivatives on Two Interest-Rate Curves.
  • 12.
  • Pricing Equity Derivatives under Stochastic Rates.
  • Models: Theory and Implementation.
  • App. A.
  • Crash Introduction to Stochastic Differential Equations
  • 1.
  • Definitions and Notation.
  • 2.
  • No-Arbitrage Pricing and Numeraire Change.
  • 3.
  • One-Factor Short-Rate Models.
Control code
46935910
Dimensions
24 cm
Extent
xxxv, 518 pages
Isbn
9783540417729
Isbn Type
(alk. paper)
Lccn
2001034206
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
Label
Interest rate models : theory and practice, Damiano Brigo, Fabio Mercurio
Publication
Bibliography note
Includes bibliographical references (pages [501]-508) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 4.
  • Two-Factor Short-Rate Models.
  • 5.
  • The Heath-Jarrow-Morton (HJM) Framework.
  • 6.
  • The LIBOR and Swap Market Models (LFM and LSM).
  • 7.
  • Cases of Calibration of the LIBOR Market Model.
  • 8.
  • Monte Carlo Tests for LFM Analytical Approximations.
  • Pt. I.
  • 9.
  • Other Interest-Rate Models
  • Pt. II.
  • Pricing Derivatives in Practice.
  • 10.
  • Pricing Derivatives on a Single Interest-Rate Curve.
  • 11.
  • Pricing Derivatives on Two Interest-Rate Curves.
  • 12.
  • Pricing Equity Derivatives under Stochastic Rates.
  • Models: Theory and Implementation.
  • App. A.
  • Crash Introduction to Stochastic Differential Equations
  • 1.
  • Definitions and Notation.
  • 2.
  • No-Arbitrage Pricing and Numeraire Change.
  • 3.
  • One-Factor Short-Rate Models.
Control code
46935910
Dimensions
24 cm
Extent
xxxv, 518 pages
Isbn
9783540417729
Isbn Type
(alk. paper)
Lccn
2001034206
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations

Library Locations

    • Thomas Jefferson LibraryBorrow it
      1 University Blvd, St. Louis, MO, 63121, US
      38.710138 -90.311107
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