Nicage The author did a good balance between theory and practice. Beliaeva Limited preview — I also admire the style of writing: One of the best Quant books. Of particular importance in this discussion is the role of the Radon-Nikodym derivative, a concept that arises in measure theory, brrigo also the use of Bayes rule for conditional expectations. Sample text from the book prefacefeaturing a description by chapter.

Author:Dobei Kebar
Language:English (Spanish)
Published (Last):28 August 2015
PDF File Size:12.93 Mb
ePub File Size:3.73 Mb
Price:Free* [*Free Regsitration Required]

It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical finance background with expert practice knowledge they both work in a bank contributes hugely to its format. I also admire the style of writing: at the same time concise and pedagogically fresh. The theory is interwoven with detailed numerical examples…For those who have a sufficiently strong mathematical background, this book is a must.

The book will most likely become … one of the standard references in the area. If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice.

Especially, I would recommend this to students …. Overall, this is by far the best interest rate models book in the market. Its main goal is to construct some kind of bridge between theory and practice in this field.

From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus.


Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

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.


Interest Rate Models Theory and Practice

Gojind The book is written very well, with calculation steps for the most part included in detail. The authors want to go beyond this model by searching for one that will reproduce any observed term structure of interest rates but that will preserve analytical tractability. The fast-growing interest for hybrid products has led to new chapters. The authors spend a fair amount of time explaining why these models are suitable for credit spreads. Interestingly, the authors devote a part of the book to the connection between interest rate models and credit derivatives, wherein they argue that credit derivatives are not only interesting in and of themselves, theroy that the tools used to model rae rate swaps can be interes to credit default swaps to a large degree. 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 CDSCDS Options and Constant Maturity CDS — are discussed, building on the basic short rate-models and market models introduced earlier pdactice the default-free market. Since it is a monograph, there are no exercises, but readers will find ample opportunities to fill in some of interfst calculations or speculate on some hheory the many questions that the authors list in the beginning to motivate the book.

Related Articles