{"product_id":"interest-rate-models-theory-damiano-brigo-9783540221494","title":"Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit","description":"\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\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Damiano Brigo, Fabio Mercurio\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3540221492\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783540221494\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 08\/04\/2006\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 982\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 3.60lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.40h x 6.40w x 2.60d","brand":"Damiano Brigo","offers":[{"title":"Hardcover","offer_id":43940802527487,"sku":"9783540221494","price":159.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/products\/img_bd9cee72-7f34-48ce-899b-0654295a166a.jpg?v=1681449264","url":"https:\/\/www.whiterainbookhouse.com\/products\/interest-rate-models-theory-damiano-brigo-9783540221494","provider":"WR Book House","version":"1.0","type":"link"}