[下载]CQF教程之五_Interest Rate- Models Theory and Practice (2nd Edition)

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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
By Damiano Brigo,&nbspFabio Mercurio,

* Publisher: Springer
* Publication Date: 2007-08
* Sales Rank: 65748
* ISBN / ASIN: 3540221492
* EAN: 9783540221494
* Binding: Hardcover
* Manufacturer: Springer

这是本老书，为了体系完整和价格便宜还是传上来，其他两个人10米，这里3米卖了

Abbreviations and Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .X.X. XV
Part I. BASIC DEFINITIONS AND NO ARBITRAGE
1. Definitions and Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2. No-Arbitrage Pricing and Numeraire Change . . . . . . . . . . . . . 23
Part II. FROM SHORT RATE MODELS TO HJM
3. One-factor short-rate models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
4. Two-Factor Short-Rate Models . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
5. The Heath-Jarrow-Morton (HJM) Framework . . . . . . . . . . . . 183
Part III. MARKET MODELS
6. The LIBOR and Swap Market Models (LFM and LSM) . . 195
7. Cases of Calibration of the LIBOR Market Model . . . . . . . . 313
8. Monte Carlo Tests for LFM Analytical Approximations. . . 377
Part IV. THE VOLATILITY SMILE
9. Including the Smile in the LFM . . . . . . . . . . . . . . . . . . . . . . . . . . 447
10. Local-Volatility Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453
11. Stochastic-Volatility Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 495
12. Uncertain-Parameter Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 517
Part V. EXAMPLES OF MARKET PAYOFFS
13. Pricing Derivatives on a Single Interest-Rate Curve . . . . . . 547
14. Pricing Derivatives on Two Interest-Rate Curves . . . . . . . . . 607
Part VI. INFLATION
15. Pricing of Inflation-Indexed Derivatives . . . . . . . . . . . . . . . . . . . 643
16. Inflation-Indexed Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 649
17. Inflation-Indexed Caplets/Floorlets . . . . . . . . . . . . . . . . . . . . . . . 661
18. Calibration to market data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669
19. Introducing Stochastic Volatility . . . . . . . . . . . . . . . . . . . . . . . . . . 673
20. Pricing Hybrids with an Inflation Component . . . . . . . . . . . . 689
20.1 A Simple Hybrid Payoff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 689
Part VII. CREDIT
21. Introduction and Pricing under Counterparty Risk . . . . . . . 695
22. Intensity Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 757
23. CDS Options Market Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 841
Part VIII. APPENDICES
A. Other Interest-Rate Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 877
A.1 Brennan and Schwartz’s Model . . . . . . . . . . . . . . . . . . . . . . . . . . . 877
A.2 Balduzzi, Das, Foresi and Sundaram’s Model . . . . . . . . . . . . . . . 878
A.3 Flesaker and Hughston’s Model . . . . . . . . . . . . . . . . . . . . . . . . . . 879
A.4 Rogers’s Potential Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 881
A.5 Markov Functional Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 881

B. Pricing Equity Derivatives under Stochastic Rates . . . . . . . . 883
B.1 The Short Rate and Asset-Price Dynamics . . . . . . . . . . . . . . . . . 883
B.1.1 The Dynamics under the Forward Measure . . . . . . . . . . 886
B.2 The Pricing of a European Option on the Given Asset . . . . . . 888
B.3 A More General Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 889
B.3.1 The Construction of an Approximating Tree for r . . . . 890
B.3.2 The Approximating Tree for S . . . . . . . . . . . . . . . . . . . . . 892
B.3.3 The Two-Dimensional Tree . . . . . . . . . . . . . . . . . . . . . . . . 893
C. A Crash Intro to Stochastic Differential Equations and Poisson
Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 897
C.1 From Deterministic to Stochastic Differential Equations . . . . . 897
C.2 Ito’s Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 904
C.3 Discretizing SDEs for Monte Carlo: Euler and Milstein Schemes906
C.4 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 908
C.5 Two Important Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 910
C.6 A Crash Intro to Poisson Processes . . . . . . . . . . . . . . . . . . . . . . . 913
C.6.1 Time inhomogeneous Poisson Processes . . . . . . . . . . . . . 915
C.6.2 Doubly Stochastic Poisson Processes (or Cox Processes)916
C.6.3 Compound Poisson processes . . . . . . . . . . . . . . . . . . . . . . 917
C.6.4 Jump-diffusion Processes . . . . . . . . . . . . . . . . . . . . . . . . . . 918
D. A Useful Calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 919
E. A Second Useful Calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 921
F. Approximating Diffusions with Trees . . . . . . . . . . . . . . . . . . . . . 925
G. Trivia and Frequently Asked Questions . . . . . . . . . . . . . . . . . . . 931
H. Talking to the Traders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 935
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 951
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 967

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