About this book Introduction The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. 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. 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. Examples of calibrations to real market data are now considered.
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It perfectly combines mathematical depth, historical perspective and practical relevance. The fact that the authors combine a strong mathematical finance background with expert practice knowledge they both work in a bank contributes hugely to its format.
I also admire the style of writing: at the same time concise and pedagogically fresh. The theory is interwoven with detailed numerical examples…For those who have a sufficiently strong mathematical background, this book is a must.
The book will most likely become … one of the standard references in the area. If you are looking for one reference on interest rate models then look no further as this text will provide you with excellent knowledge in theory and practice. Especially, I would recommend this to students …. Overall, this is by far the best interest rate models book in the market. Its main goal is to construct some kind of bridge between theory and practice in this field. From one side, the authors would like to help quantitative analysts and advanced traders handle interest-rate derivatives with a sound theoretical apparatus.
Interest Rate Models - Theory and Practice
Interest Rate Models — Theory and Practice