利率模型理論和實(shí)踐

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.

內(nèi)容概要

　　本書(shū)是一部詳細(xì)講述利率模型的書(shū)，旨在將該領(lǐng)域的理論和實(shí)踐聯(lián)系起來(lái)，在第一版的基礎(chǔ)上增加了許多新特征。有關(guān)LIBOR市場(chǎng)模型中的“Smile”部分得到了極大的豐富，已有內(nèi)容擴(kuò)充為幾個(gè)新的章節(jié)。書(shū)中增加了瞬時(shí)相關(guān)矩陣的歷史估計(jì)，局部波動(dòng)動(dòng)力學(xué)和隨機(jī)波動(dòng)模型，全面講述了最新發(fā)展較快的不確定波動(dòng)率方法。跟膨脹有關(guān)的衍生品定價(jià)講述的較為詳細(xì)?！　∽x者對(duì)象：數(shù)學(xué)專(zhuān)業(yè)研究生、老師和經(jīng)濟(jì)、金融的相關(guān)人員。

書(shū)籍目錄

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

章節(jié)摘錄

　　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.

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