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Home > Financial Information Sources > Financial Modeling > Interest Rate Models—Theory and Practice: With Smile, Inflation and Credit

Financial Information Sources

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

Damiano Brigo, Fabio Mercurio
2nd Edition
Springer Finance Series
Berlin: Springer, 2006
981pp, ISBN: 978-3-540-22149-4
www.springer.com

This technical guide to interest rate modeling and derivatives combines theory and practice to provide the necessary mathematical expertise for quantitative analysts, advanced traders, and students. It analyzes the effectiveness of different models, and presents updates on hybrid products, credit derivatives, the smile issue in the LIBOR market model, calibrations to real market data, and stochastic volatility models.

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