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Interest rate models : theory and practice
- Author / Creator
- Available as
- Physical
Details
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- Creator
- Damiano Brigo, Fabio Mercurio
- Format
- Books
- Language
- English
- Contributors
- Publication
-
- Berlin ; New York : Springer, [2001]
- ©2001
- Series
- Physical Details
-
- xxxv, 518 pages : illustrations ; 24 cm
- ISBNs
- 9783540417729, 3540417729
- OCLC
- ocm46935910
- Includes bibliographical references (pages [501]-508) and index.
- Pt. I. Models: Theory and Implementation. 1. Definitions and Notation. 2. No-Arbitrage Pricing and Numeraire Change. 3. One-Factor Short-Rate Models. 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. 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 -- App. A. Crash Introduction to Stochastic Differential Equations