Buch, Englisch, 982 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 1539 g
Reihe: Springer Finance
With Smile, Inflation and Credit
Buch, Englisch, 982 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 1539 g
Reihe: Springer Finance
ISBN: 978-3-662-51743-7
Verlag: Springer
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.
Examples of calibrations to real market data are now considered.
The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives.
The three final new chapters of this second edition are devoted to credit.
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 (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
Weitere Infos & Material
Basic Definitions and No Arbitrage.- Definitions and Notation.- No-Arbitrage Pricing and Numeraire Change.- From Short Rate Models to HJM.- One-factor short-rate models.- Two-Factor Short-Rate Models.- The Heath-Jarrow-Morton (HJM) Framework.- Market Models.- The LIBOR and Swap Market Models (LFM and LSM).- Cases of Calibration of the LIBOR Market Model.- Monte Carlo Tests for LFM Analytical Approximations.- The Volatility Smile.- Including the Smile in the LFM.- Local-Volatility Models.- Stochastic-Volatility Models.- Uncertain-Parameter Models.- Examples of Market Payoffs.- Pricing Derivatives on a Single Interest-Rate Curve.- Pricing Derivatives on Two Interest-Rate Curves.- Inflation.- Pricing of Inflation-Indexed Derivatives.- Inflation-Indexed Swaps.- Inflation-Indexed Caplets/Floorlets.- Calibration to market data.- Introducing Stochastic Volatility.- Pricing Hybrids with an Inflation Component.- Credit.- and Pricing under Counterparty Risk.- Intensity Models.- CDS Options Market Models.