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

Persian Title: مدل نرخ بهره تئوری و عمل

Summary and Info
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 LIBORmodel consistent swaptionvolatility interpolation technique has been introduced.The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on localvolatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertainvolatility approach. Examples of calibrations to real market data are now considered. The fastgrowing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflationlinked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reducedform modeling framework much of the technique involved is analogous to interestrate modeling, Credit Derivatives  mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS  are discussed, building on the basic short ratemodels and market models introduced earlier for the defaultfree market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
More About the Author
Damiano Brigo (Venice Italy 1966) is an applied mathematician, and currently Chair in Mathematical Finance at Imperial College London, known for a number of results in systems theory, probability and mathematical finance.
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