Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Book Description

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.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. 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.

The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.

The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

Customer Reviews:

Best book on interest rate models.......2002-12-14

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.

The best book I have read on the subject.......2002-05-06

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.

New stuff and nice overview: hard to beat!.......2002-01-17

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! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.

The detailed explanation on products is a much welcome original addition. Cross currency derivatives!

Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.

Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.

This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.

Nicely written overview of interest rate models.......2001-12-15

This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.

The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).

In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".

Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.

This book can also be used for a graduate level/PhD course on interest rate models.

There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.

Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.

Well written and useful book.......2001-11-04

In my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book.

A Smile as Big as the Moon: A Teacher, His Class, and Their Unforgettable Journey

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Awesome!
Absolutely uplifting!
a smile as big as the moon
a smile as big as the moon - a teacher, his class, and their
A WONDERFUL STORY WELL TOLD=A SMASH HIT

A Smile as Big as the Moon: A Teacher, His Class, and Their Unforgettable Journey
Mike Kersjes , and Joe Layden
Manufacturer: St. Martin's Press
ProductGroup: Book
Binding: Hardcover

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A Smile as Big as the Moon: A Special Education Teacher, His Class, and Their Inspiring Journey Through U.S. Space Camp

ASIN: 0312273142

Book Description

Besides being a football coach at his Michigan High School, Mike Kersjes taught special education classes, dealing with children whose disabilities included Tourette syndrome, Downs Syndrome, dyslexia, eating disorders and a variety of emotional problems.One autumn Kersjes got the outlandish idea that his students would benefit from going to Space Camp, where, in conjunction with NASA, high school students compete in a variety of activities similar to those experienced by astronauts in training for space shuttle missions. There was only one problem: this program had been specifically designed for gifted and talented students, the best and the brightest from America's most privileged high schools.Kersjes believed that, given a chance, his kids could do as well as anybody, and with remarkable persistence broke down one barrier after another, from his own principal's office to the inner sanctum of NASA, until Space Camp opened its doors, on an experimental basis, to special ed students. After nine months of rigorous preparation, during which the class molded itself into a working team, they arrived at Space Camp, where they turned in a performance so startling, so surprising, that it will leave the reader breathless. A truly triumphant story of the power of the human spirit.AUTHORBIO: MIKE KESJES is president of Space Is Special Inc., a not for profit organization that helps special education students enhance their science and mathematics skills using space as a motivational theme. Mike has been a special education teacher and football coach for over 20 years with the Forest Hills Public School system and is currently working with NASA Marshall Space Flight Center and the University of California, Irvine. The film rights for his book have been sold to Jerry Bruckheimer for Walt Disney Pictures. He lives in Grand Rapids MI.JOE LAYDEN is an award-winning journalist and New York Times best selling author. He lives in upstate New York.

Customer Reviews:

Awesome! .......2005-04-28

A Smile as Big as the Moon, by Mike Kersjes, is a very inspiring and encouraging book. Personally, I was happy to see a teacher who took risks to make those children with disabilities feel proud of themslves. Personally, as an employee at a school with disabled children, I know what it takes to make those children happy. I can call Kersjes a gifted teacher who devoted his time, energy, and money to help those children in special education. Based on a true story, it is very interesting and keeps the reader eager to know what happened next. I would reommed this book to teachers, parents and older children.

Absolutely uplifting!.......2002-08-12

I usually prefer fiction books, however, this true story of a teacher so dedicated to his students was too hard to resist. It is uplifting and motivating to see that there are others in education who will put their heart and soul into helping their students succeed! So many children need teachers like Mike and Robynn.

a smile as big as the moon.......2002-04-25

a wonderful read... a triumph of heart, mind and human spirit. great job mike, robynn and students. The movie will be a must see on my list.
maj. davie a megahan, usa-ret, huntsville al.

a smile as big as the moon - a teacher, his class, and their.......2002-04-25

a wonderful read... a triumph of heart, mind and human spirit. great job mike, robynn and students. The movie will be a must see on my list.
maj. davie a megahan, usa-ret, huntsville al.

A WONDERFUL STORY WELL TOLD=A SMASH HIT.......2002-03-24

Everyone needs inspiration in their life; someone to look up to and involve yourself in the uplifting part of life. This book is what you are looking for. A true story of majestic proportions that create throat lumps every once in awhile. If these mentally challenged children that don't know the meaning of self discipline can find within themselves a goal of monumental meaning whereby they change their entire life in a period of about a year to compete against two hundred other students and accomplish fantastic results then you can do the same for yourself. The story ending is one that make dreams come true because of what has happened before. Don't miss this one!

AUREALIS - The Australian Magazine of Fantasy and Science Fiction 17:The Service of the Dead; Dusty Winona; Fade to Black; The Morpheus Project; With an Engimatic Smile; Watching the Soldiers

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AUREALIS - The Australian Magazine of Fantasy and Science Fiction 17:The Service of the Dead; Dusty Winona; Fade to Black; The Morpheus Project; With an Engimatic Smile; Watching the Soldiers
Stephen; Strasser, Dirk (editors) (Stephen Dedman; Anthony Morris; Bill Congreve; Brent Lillie; John Ezzy) Higgins
Manufacturer: Chimaera Publications
ProductGroup: Book
Binding: Paperback
ASIN: B000IB9Q42

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Dr. Kanner, Dentist With a Smile
Alice Flanagan
Manufacturer: Tandem Library
ProductGroup: Book
Binding: School & Library Binding

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ASIN: 0613541790

Hidden Tears and Happy Smiles: Living with Andrew and Other Special Children (Lucky Duck Books)

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Hidden Tears and Happy Smiles: Living with Andrew and Other Special Children (Lucky Duck Books)
Rachel Cooper
Manufacturer: Paul Chapman Educational Publishing
ProductGroup: Book
Binding: Paperback

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ASIN: 187394263X

Book Description

Rachel tells a powerful story about the difficulties she faced as Andrew's mother.

Claire Rayner writes of this book:

This account of life with a disabled child and other people with disabled children, written by an author who, herself, started out with a disability is a labour of love that deserves the attention of a great many people who work in this field, as well as, of course, other parents. Its touching, its highly readable, but it is, above all, real. I do recommend it to you.

Book Description

This anthology presents the reader with a fascinating view of the whimsical side of science. A unique and historical collection of humorous stories, anecdotes, verse and cartoons touching every science has been meticulously compiled by the author from worldwide sources. In addition to hours of amusement, this book will provide the reader with glimpses of the intensely human ambitions, frustrations, and elations of scientists as well as the changing attitudes within their sciences. The text is well illustrated and can be read from cover to cover with pleasure or sampled at leisure.

Science with a Smile - Gods and Religions; Sex, Marriage and Divorce; Education (Mental Engineering Series, Volume A)

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Science with a Smile - Gods and Religions; Sex, Marriage and Divorce; Education (Mental Engineering Series, Volume A)

Manufacturer: Self, Distributor - Cascade Book
ProductGroup: Book
Binding: Hardcover
ASIN: B000GDFX08

Jake with a Snarly Smile on His Chops.(Book Review): An article from: Reviewer's Bookwatch

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Jake with a Snarly Smile on His Chops.(Book Review): An article from: Reviewer's Bookwatch
Magdalena Ball
Manufacturer: Midwest Book Review
ProductGroup: Book
Binding: Digital

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Book Description

This digital document is an article from Reviewer's Bookwatch, published by Midwest Book Review on August 1, 2004. The length of the article is 693 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Jake with a Snarly Smile on His Chops.(Book Review)
Author: Magdalena Ball
Publication: Reviewer's Bookwatch (Newsletter)
Date: August 1, 2004
Publisher: Midwest Book Review
Page: NA

Article Type: Book Review

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Service with a smile.(Civic Service: What Difference Does It Make? )(Book review): An article from: Journal of Public Administration Research and Theory

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Service with a smile.(Civic Service: What Difference Does It Make? )(Book review): An article from: Journal of Public Administration Research and Theory
Lynn C. Ross
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

General | Politics | Nonfiction | Subjects | Books

Book Description

This digital document is an article from Journal of Public Administration Research and Theory, published by Thomson Gale on April 1, 2006. The length of the article is 1383 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Service with a smile.(Civic Service: What Difference Does It Make? )(Book review)
Author: Lynn C. Ross
Publication: Journal of Public Administration Research and Theory (Magazine/Journal)
Date: April 1, 2006
Publisher: Thomson Gale
Volume: 16 Issue: 2 Page: 322(3)

Article Type: Book review

Distributed by Thomson Gale

Book Description

Lucas Davenport faces a living nightmare, in one of the scariest Prey novels yet from the number-one bestselling author.

Abridged CD - 5 CDs, 6 hours

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"Lucas Davenport confronts a living nightmare, in one of the scariest Prey novels yet from the number-one bestselling author. The ""Big Three"" are a trio of inmates locked up in the Minnesota Security Hospital over the years, each a particularly vicious serial killer, each with his own distinct style and propensities. Everybody feels much safer knowing that they're behind bars. Except . . . there's a new killer on the loose. And his handiwork bears a disturbing resemblance to some of the finer points practiced by the Big Three, details that never even made the papers. Davenport and his team quickly home in on a possible suspect, a man named Charlie Pope, who was released from the same hospital prison a few weeks earlier, and who now seems to have cut himself free from his court-imposed ankle bracelet and disappeared. But is he really the one? And why do the Big Three look so agitated? Brilliantly suspenseful, consistently surprising-once again, Sandford has outdone himself."

Customer Reviews:

A Solid Addition to the Prey Series.......2007-09-22

I wish I had been able to read this series in order. However, each book seems to do fine as a stand alone as well. The book keeps you guessing as to actually did it, the murderer was quite clever in covering his tracks. There is a lot of language in this book, as well as very graphic descriptions of pychosexual crimes. Definitely not for the faint at heart!

Unbroken Page Thriller.......2007-08-27

Lucas Davenport is on the trail of another killer. The recently released Charlie Pope has gone on a murder spree -- or has he?

The family is overseas so the action is all about the mystery. I'll try to avoid spoilers, but there are a number of twists and turns. From reading the other reviews, you already know that the book is a bit "rough" -- there are a lot of killings and they are sexually oriented. Clearly if you are squeamish, this isn't the book for you -- but then you probably aren't in this genre if that bothers you.

Broken Prey.......2007-08-18

I have read the entire series of John Sandford (The Prey series)books with increased interest and hope he continues to write more.

A gal's review of "Broken Prey".......2007-07-29

A crime-mystery, but Jeffery Deaver has set the bar very high, and John Sandford doesn't quite measure up. The characters are flat and dull, and apparently they don't know that over 95% of male rapes are committed by HETEROsexual men, NOT homosexual ones. And this ****ing book can't seem to get off the "gay" thing after a male murder victim is found to have been raped before his death. $%^&* It just irritates the **** out of me. It's already hard enough to get male rape victims to come forward, and the whole "if you are a man and you got raped, you must be gay" doesn't help one bit. And as I said before, well over 90% of the RAPISTS are heterosexual. Rape is about power and domination, not about sex.

Do your homework next time, John Sandford.

Eventually, though very slowly, the book starts to redeem itself. But the characters are rather flat. I guess I'm spoiled on Jeffery Deaver's incredibly complex characters.

Not a terrible book, and I'm sure many people love it, but it's just not my cup of tea.

Lucas Davenport is human, after all.......2007-07-23

Another fine crime novel by one of the masters of the genre. Is Sandford finally bringing Lucas Davenport down to earth, a bit? Our Hero unearths an important clue early on, but never follows up on it after the pool of suspects is narrowed, thereby allowing the killer to trigger the horrific shootout at the end. Still, it's a satisfying read. Secondary characters are well-drawn and the running schtick about his iPod and the 100 greatest rock songs provides periodic comic relief.

Broken Prey (Doubleday Large Print Home Library)

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Broken Prey (Doubleday Large Print Home Library)
John Sandford
Manufacturer: G.P. Putnam's Sons
ProductGroup: Book
Binding: Hardcover
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10 Prey Series Books: Broken Prey, Certain Prey, Chosen Prey, Eyes of Prey, Hidden Prey, Mortal Prey, Rules of Prey, Sudden Prey, Secret Prey, Winter Prey, (Unboxed Set of Suspense Thriller Books)

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10 Prey Series Books: Broken Prey, Certain Prey, Chosen Prey, Eyes of Prey, Hidden Prey, Mortal Prey, Rules of Prey, Sudden Prey, Secret Prey, Winter Prey, (Unboxed Set of Suspense Thriller Books)
John Sandford
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10 Prey Series Books: Broken Prey, Certain Prey, Chosen Prey, Eyes of Prey, Hidden Prey, Mortal Prey, Rules of Prey, Sudden Prey, Secret Prey, Winter Prey, (Unboxed Set of Suspense Thriller Books), in either Hard or Softcover, (See Seller Condition Comments), Shipped in one package to save on shipping costs.

4 Titles By John Sandford Prey Series (13-16) : 13. Mortal Prey 14. Naked Prey 15. Hidden Prey 16. Broken Prey

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4 Titles By John Sandford Prey Series (13-16) : 13. Mortal Prey 14. Naked Prey 15. Hidden Prey 16. Broken Prey
John Sandford
Manufacturer: Berkley
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multiple books ship as one item. save on shipping/handling charges.

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Broken Prey
John Sanford
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Broken Prey
John Sandford
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Broken Prey
John Sandford
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John Sandford
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John Sandford
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