利率模型理论和实践

出版时间：2010-4  出版社：世界图书出版公司  作者：（意）布里谷　著，  页数：981  
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前言

　　Welcome onboard the second edition of this book on interest rate models， to all old and new readers. We immediately say this second edition is actually almost a new book， with four hundred fifty and more new pages on smile modeling， calibration， inflation， credit derivatives and counterparty risk.　　As explained in the preface of the first edition， the idea of writing this book on interest-rate modeling crossed our minds in early summer 1999. We both thought of different versions before， but it was in Banca IMI that this challenging project began materially， if not spiritually (more details are given in the trivia Appendix G). At the time we were given the task of studying　　and developing financial models for the pricing and hedging of a broad range of derivatives， and we were involved in medium/long-term projects.　　The first years in Banca IMI saw us writing a lot of reports and material on our activity in the bank， to the point that much of those studies ended up in the first edition of the book， printed in 2001.　　In the first edition preface we described motivation， explained what kind of theory and practice we were going to address， illustrated the aim and readership of the book， together with its structure and other considerations. We do so again now， clearly updating what we wrote in 2001.

内容概要

　　本书是一部详细讲述利率模型的书，旨在将该领域的理论和实践联系起来，在第一版的基础上增加了许多新特征。有关LIBOR市场模型中的“Smile”部分得到了极大的丰富，已有内容扩充为几个新的章节。书中增加了瞬时相关矩阵的历史估计，局部波动动力学和随机波动模型，全面讲述了最新发展较快的不确定波动率方法。跟膨胀有关的衍生品定价讲述的较为详细。　　读者对象：数学专业研究生、老师和经济、金融的相关人员。

书籍目录

Preface Abbreviations and Notation Part Ⅰ.ASIC DEFINITIONS AND NO ARBITRAGE 　1.Definitions and Notation 　2.NO-Arbitrage Pricing and Numeraire Change Part Ⅱ.FROM SHORT RATE MODELS TO HJM 　3.One-factor short-rate models 　4.Two-Factor Short-Rate Models 　5.The Heath-Jarrow-Morton(HJM) Framework Part Ⅲ.MARKET MODELS 　6.The LIBOR and Swap Market Models(LFM and LSM) 　7.Cases of Calibration of the LIBOR Market Model 　8.Monte Carlo Tests for LFM Analytical Approximations Part Ⅳ.THE VOLATILITY SMILF 　9.Including the Smile in the LFM 　10.Local-Volatility Models 　11.Stochasti-Volatility Models 　12.Uncertain-Parameter Models Part Ⅴ.EXAMPLES OF MARKET PAYOFFS 　13.Pricing Derivatives on a Single Interest-Rate Curve 　14.Pricing Derivatives on Two Interest-Rate Curves Part Ⅵ.INFLATION 　15.Pricing of Inflation-Indexed Derivatives 　16.Inflation Indexed Swaps 　17.Inflation-Indexed Caplets/Floorlets 　18.Calibration to market data 　19.Introducing Stochastic Volatility 　20.Pricing Hybrids with an Inflation Component Part Ⅶ.CREDIT 　21.Introduction and Pricing under Counterparty Risk 　22.Intensity Models 　23.CDS Options Market Models Part Ⅷ.APPENDICES 　A.Other Interest-Rate Models 　B.Pricing Equity Derivatives under Stochastic Rates 　C.A Crash Intro to Stochastic Differential Equations and Poisson Processes 　D.A Useful Calculation 　E.A Second Useful Calculation 　F.Approximating Diffusions with Trees 　G.Trivia and Frequently Asked Questions 　H.Talking to the Traders References Index

章节摘录

　　In the recent years， there has been an increasing interest for hybrid structures whose payoff is based on assets belonging to different markets. Among them， derivatives with an inflation component are getting more and more popular. In this chapter， we tackle the pricing issue of a specific hybrid payoff when no smile effects are taken into account. The valuation of more general structures is to be dealt with on a case by case basis and is likely to involve numerical routines as Monte Carlo.

用户评论 (总计13条)

•   一个博士推荐的，对利率期限结构模型理论讲的很深。看起来应该会有一定难度。硬皮的封面，里面有900页的内容啊，真是像字典！
•   这本书几乎是利率模型的现阶段的最高集大成著作了，值得好好啃，我得啃上一大阵子了
•   最好一边看一边把这些模型实现一遍。。这样更有直观意识。。。一本很精髓的书。。阐述的相当清晰。。并且极具逻辑性层次性。。。。好！
•   学的金融工程专业，正好用到此书
•   非常高兴认识这本书，好好看吧
•   准备认真研究一下
•   if you can afford the price, this book is a very useful book for financial modelling.
•   正版，包装很好。
•   能在网上买到性价比这么高的教科书，真开心
•   上世纪的印刷质量，差
•   很经典的 interest rate 研究必读。一下子买了两本。
•   质量和内容都是绝对好的
•   同学推荐的，看了下，经典