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The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. 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. The 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. 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.
Book Description
Interest Rate Models Theory and Practice In implementing mathematical models for pricing interest rate derivatives one has to 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 aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. This is an area that is rarely covered by books on mathematical finance. The book is meant both to help quantitative analysts and advanced traders price and hedge with a sound theoretical apparatus, and to encourage academics to develop a feeling for the practical problems in the interest rate market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. Advanced undergraduate students, graduate students and researchers should benefit from seeing how mathematics can be used in concrete financial problems.
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--このテキストは、 ハードカバー 版に関連付けられています。
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カスタマーレビュー
最も参考になったカスタマーレビュー
1 人中、1人の方が、｢このレビューが参考になった｣と投票しています。
形式:ハードカバー
金利モデルについて、BGMモデルを中心に詳しく書かれています。
測度変換からキャリブレーションまで一通りのことが書かれています。
ただ基礎的なことについての証明は載っていないので、
他の本や場合によっては論文にあたって調べる必要が出てきます。
局所ボラティリティや確率ボラティリティモデルについても書かれていますが
最新の結果は含まれていないように感じました。
しかし、一通り網羅性はあるので、辞書として手元に置いておくと便利です。
測度変換からキャリブレーションまで一通りのことが書かれています。
ただ基礎的なことについての証明は載っていないので、
他の本や場合によっては論文にあたって調べる必要が出てきます。
局所ボラティリティや確率ボラティリティモデルについても書かれていますが
最新の結果は含まれていないように感じました。
しかし、一通り網羅性はあるので、辞書として手元に置いておくと便利です。
Amazon.com で最も参考になったカスタマーレビュー (beta)
Amazon.com:
9件のカスタマーレビュー
48 人中、47人の方が、｢このレビューが参考になった｣と投票しています。
Nicely written overview of interest rate models
2001/12/15
形式:ハードカバー
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.
The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).
In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".
Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.
This book can also be used for a graduate level/PhD course on interest rate models.
There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.
Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.
40 人中、38人の方が、｢このレビューが参考になった｣と投票しています。
New stuff and nice overview: hard to beat!
2002/1/17
形式:ハードカバー
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.
Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.
The detailed explanation on products is a much welcome original addition. Cross currency derivatives!
Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.
Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.
This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.
24 人中、23人の方が、｢このレビューが参考になった｣と投票しています。
Definitely a must for quants and financial engineer !!!
2001/9/11
形式:ハードカバー
Though not precisely at beginner level, it is one of the best financial mathematics book combining rigourous theory with actual practice. I use this book as a reference book in combination with Kennedy and Hunt (Financial Derivatives), with Wilmott's Derivatives. Brigo and Mercurio's book gives an accurate account of the latest research on interest rate derivatives. They provide very good information (theory and practice) on calibration to cap/floor, swaptions data. A "must buy it immediately" book for quants and financial engineers, and also for graduates in quantitative finance. Could be recommended to newcomers in the area of mathematical finance, interested in knowing how mathematics is applied to concrete financial problems.
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