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Interest Rate Models Theory and Practice.pdf
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书籍名称：Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
作者：Damiano Brigo, Fabio Mercurio
出版年份：2017，2nd Edition 共1030p，文字版（非扫描版）PDF
ISBN 978-3-540-22149-4
目录：
Preface
Abbreviations and Notation
Part I. BASIC 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 SMILE
9. Including the Smile in the LFM
11. Stochastic-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 Second Useful Calculation
E. Approximating Diffusions with Trees
F. Trivia and Frequently Asked Questions
G. Talking to the Traders
References
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