back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Basic concepts of stochastic modeling in interest rate theory, As a standard reference on interest rate theory I recommend. [Brigo and Mercurio()]. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.

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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. Especially, I would recommend this to students …. Points of Interest, book review for Risk Magazine, November Beliaeva Limited preview – Thus the book can help quantitative analysts and advanced traders price and hedge interest-rate derivatives with a sound theoretical apparatus, explaining which models can be used in practice for some major concrete problems.

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.

The 2nd edition of this successful book has several new features. User Review – Flag as inappropriate Necessity for a future quant, needed by bankers. It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one.

Its main goal is to construct some kind of bridge between theory and practice in this field. Account Options Sign in. With Smile, Inflation and Credit. This is the publisher web site.

### Interest Rate Models – Theory and Practice by Mercurio, Damiano Brigo; Fabio

Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modelingCredit 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. Since Credit Derivatives are brogo 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 for the default-free market.

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 Bfigo 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.

Places on the web where the book can be ordered. The text is no doubt my favourite on the subject of interest rate modelling. Advanced undergraduate students, graduate students and researchers should benefit as well from seeing how some sophisticated mathematics can be used in concrete financial problems.

This is a very detailed course on interest rate models. A special focus here is devoted to the pricing of inflation-linked derivatives.

## Interest Rate Models – Theory and Practice

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 Overall, this is by far the best interest rate models book in the market. Damiano BrigoFabio Mercurio.

SotoNatalia A. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments. References to this book Dynamic Term Structure Modeling: 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. Examples of calibrations to real market data are now considered.

Interest Rate Models – Theory and Practice. My library Help Advanced Book Search.

I also admire the style of writing: My library Help Advanced Book Search. The fast-growing interest for hybrid products has led to new chapters. Dynamic Term Structure Modeling: A special focus here is devoted to the pricing of inflation-linked derivatives.

Interest Intersst Models – Theory and Practice: Examples of calibrations to real market data are now considered.