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Damiano Brigo at Imperial College London. Damiano Brigo Fabio Mercurio at Bloomberg L.P. Jan ; Interest Rate Models Theory and Practice; pp Basic concepts of stochastic modeling in interest rate theory, in particular the References. As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. Mercurio. Interest rate models—theory and practice. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science.

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The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the theogy interpolation technique and of the exogenous instantaneous correlation on the calibration outputs.

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 The three final new chapters of this second edition are devoted to credit. Counterparty pracice in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

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Interest Rate Models Theory and Practice – Damiano Brigo, Fabio Mercurio – Google Books

A special focus here is devoted to the pricing of inflation-linked derivatives. 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.

Since Credit Derivatives practics increasingly fundamental, and since in the reduced-form modeling framework thekry 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 for the default-free market. My library Help Advanced Book Search. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit.

Selected pages Title Page. Damiano BrigoFabio Mercurio.

The fast-growing interest for hybrid products has led to new chapters. 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. Account Options Sign in.

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The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. The 2nd edition of this successful book has several new features. Examples of calibrations to real market data are now considered.