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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit Hardcover – Aug 2 2007


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Product Details

  • Hardcover: 982 pages
  • Publisher: Springer; 2nd ed. 2006. Corr. 3rd printing 2007 edition (Aug. 2 2007)
  • Language: English
  • ISBN-10: 3540221492
  • ISBN-13: 978-3540221494
  • Product Dimensions: 4 x 16.7 x 24.2 cm
  • Shipping Weight: 1.6 Kg
  • Average Customer Review: 4.9 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Bestsellers Rank: #198,338 in Books (See Top 100 in Books)
  • See Complete Table of Contents


Inside This Book (Learn More)
First Sentence
The concept of interest rate belongs to our every-day life and has entered our minds as something familiar we know how to deal with. Read the first page
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Customer Reviews

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Most helpful customer reviews

Format: Hardcover
This book is clear and concise with nicely chosen notations. Easy and happy to read.
This is one of the fews books I that I read from beginning to end.
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By A Customer on Dec 13 2002
Format: Hardcover
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.
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By A Customer on May 6 2002
Format: Hardcover
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject.
Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.
I would just say that this is certainly a must have in the field.
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By A Customer on Jan. 16 2002
Format: Hardcover
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.

Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion!
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