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Interest Rate Models - Theory and Practice

With Smile, Inflation and Credit

Damiano Brigo; Fabio Mercurio

978-3-540-34604-3

2006
Edition 2
- Authors work as Head of Credit Models and Head of Financial Models at an Italian bank, this first-hand contact with trading gives them a practical insights on the subject
- Accessible overview of interest rate models, book brings the practitioner's viewpoint together with the theoretical viewpoint
- In contrast to other academic books on interest rate modelling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models, which reflects the current market practice
- Contains a lot of numerical examples and mathematics is kept to the necessary level while keeping the approach both rigorous and understandable
- New edition covers very hot topics of credit risk and stochastic volatility
- Includes supplementary material: sn.pub/extras
€260

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