{"product_id":"interest-rate-models-theory-and-practice-with-smile-inflation-and-credit-9783662517437","title":"Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit","description":"\u003cp\u003e • Author(s): Damiano Brigo\u003cbr\u003e • Publisher: Springer\u003cbr\u003e • Publisher Imprint: Springer\u003cbr\u003e • BISAC: Interest\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eWhen implementing mathematical models for pricing interest rate derivatives one must address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book explains how models work and how to implement them for concrete pricing. \u003c\/p\u003e\u003cp\u003eThe 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, 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.\u003c\/p\u003e\u003cp\u003eThe 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. \u003c\/p\u003e\u003cp\u003eThe fast-growing interest for hybrid products has led to a new chapter, with a special focus devoted to the pricing of convertible bonds and inflation-linked derivatives.\u003c\/p\u003e","brand":"Springer","offers":[{"title":"Paperback","offer_id":45285173493911,"sku":"9783662517437","price":10283.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9783662517437.webp?v=1769283365","url":"https:\/\/atlanticbooks.com\/products\/interest-rate-models-theory-and-practice-with-smile-inflation-and-credit-9783662517437","provider":"Atlantic Books","version":"1.0","type":"link"}