It seems that you're in Germany. We have a dedicated site for Germany. Authors: Brigo , Damiano, Mercurio , Fabio. 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.
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The Basic Library List Committee suggests that undergraduate mathematics libraries consider this book for acquisition. 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.
The book under review is the second edition and indeed waiting for it was worthwhile. The second edition grew to almost pages. If the size and table of contents does not already scare you away then we can try saying some more things about it. Too many times we, the readers, are faced with artificial examples that really do not apply in practice. This book can be seen as an "outlier" from the general crowd as it marvelously blends theory and real practical examples.
As the table of contents is rather detailed I will not go further and describe what is covered in the book, but focus rather on the style in which it was covered. Most books just explain these introductory concepts and move on, leaving a gap behind. In this book you will get acquainted with notation from the second page. Overall the book is extremely detail oriented. Factor models, market models and discussion on calibration are covered carefully.
Explanations are lucid, with numerous numerical examples. Part II, including one-factor and two-factor models, is also extremely detailed. There are many graphical aids to help in understanding. Examples and useful suggestions are given throughout the text.
This type of narrative style continues throughout the book. Given so much intuitive explanation and useful advice, it is no wonder that the book has so many pages. It is simply a must for all. I believe that all groups of readers interested in the field will find this book extremely useful. Overall, this is by far the best interest rate models book on the market. She hold a Masters degree in statistics from Rice University. Her main research areas are in mathematical finance; more precisely, statistical mehods of credit and market risk.
Apart from the academic work she does consulting work for financial institutions. Skip to main content. Search form Search. Login Join Give Shops. Halmos - Lester R. Ford Awards Merten M. Damiano Brigo and Fabio Mercurio. Publication Date:. Number of Pages:.
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Interest Rate Models — Theory and Practice
Interest Rate Models — Theory and Practice: With Smile, Inflation and Credit
The Basic Library List Committee suggests that undergraduate mathematics libraries consider this book for acquisition. 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. The book under review is the second edition and indeed waiting for it was worthwhile. The second edition grew to almost pages.