Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. New sections on local-volatility dynamics, and on stochastic volatility models Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. Damiano Brigo, Fabio Mercurio. Counterparty risk in interest rate payoff valuation is also considered, motivated Interest Rate Models Theory and Practice. By Damiano Brigo, Fabio Mercurio.

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Damiano Brigo and Fabio Mercurio: Interest Rate Models – Theory and Practice

The members of this family are positive martingales, and this ensures the required positivity. Overall, this is by far the best interest rate models book in the market. Quantitative Credit Portfolio Management: Readers interested in counterparty risk will be exposed to an interesting assertion, namely that the value of a generic claim that has counterparty risk is always less than the value of a similar claim whose counterparty has a probability of default equal to zero.

One person found this helpful. Since it is a monograph, there are no exercises, but readers will find ample opportunities to fill in some of the calculations or speculate on some of the many questions that the authors list in the beginning to motivate the book.


A Graduate Course Springer Finance. The fast-growing interest for hybrid products has led to a new chapter. Top Reviews Most recent Top Reviews. Get to Know Us. Amazon Inspire Digital Educational Resources. One model that particularly stands out in this regard is due to B.

It perfectly combines mathematical depth, historical perspective and practical relevance. Read more Read less. The object is to follow the time evolution of the price of these two securities.

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

East Dane Designer Men’s Fashion. One of the major challenges any financial engineer has to cope with is the practical implementation of mathematical models for pricing derivative securities: Showing of 12 reviews. In this discussion the authors focus on a portfolio ratee of riskless security bond and a risky security stock that pays no dividend.

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Interest Rate Models Theory and Practice

Really worth buying if you are in to interest models! The parts that describe each type of products and what could be used to price them is also very complete and intuitive. The book will most likely become … one of the standard references in the area. The book is very complete about all the models in literature, from 1 factor model all the way to Libor Market models and SABR. Meecurio 2nd edition August 2, Language: The text is no doubt my favourite on the subject of interest rate modelling.


His class is really fantastic as well as the book he wrote. 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.

The bearer rzte obtain a payment at expiry, the size of which depends on the prior price history. Review From the reviews: SpringerAug 9, – Mathematics – pages.

The three final new chapters of this second edition are devoted to credit. See all 12 reviews.