Interest Rate Models

Description

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.

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1. Ebooks list page : 1901
2. Interest-Rate Option Models
3. Interest-Rate Option Models (Repost)
4. Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
5. Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
6. Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
7. Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
8. Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
9. [share_ebook] Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
10. Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (ReUp)
11. Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Repost)
12. [share_ebook] Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
13. Interest Rate Modelling
14. Interest.Rate.Modelling
15. Interest Rate Risk Management
16. [share_ebook] Interest Rate Risk Management