{"product_id":"interest-rate-models-theory-and-practice-with-smile-inflation-and-credit-paperback","title":"Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit - Paperback","description":"\u003cp\u003eby \u003cb\u003eDamiano Brigo\u003c\/b\u003e (Author), \u003cb\u003eFabio Mercurio\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eWhen implementing mathematical models for pricing interest rate derivatives one must address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book explains how models work and how to implement them for concrete pricing. \u003c\/p\u003e\u003cp\u003eThe 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, 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.\u003c\/p\u003e\u003cp\u003eThe old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. 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. \u003c\/p\u003e\u003cp\u003eThe fast-growing interest for hybrid products has led to a new chapter, with a special focus devoted to the pricing of convertible bonds and inflation-linked derivatives.\u003c\/p\u003e\u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 982\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 2.04 x 9.21 x 6.14 IN\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eIllustrated:\u003c\/strong\u003e Yes\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e October 23, 2016\u003c\/div\u003e","brand":"Books by splitShops","offers":[{"title":"Default Title","offer_id":47500968034482,"sku":"9783662517437","price":259.18,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0770\/3891\/1666\/files\/49d9a9675363e71cc7b4555ea5418524.webp?v=1779441874","url":"https:\/\/box.dadyminds.org\/products\/interest-rate-models-theory-and-practice-with-smile-inflation-and-credit-paperback","provider":"DADYMINDS BOX","version":"1.0","type":"link"}