Interest Rate Models — Theory and Practice

With Smile, Inflation and Credit

Authors:

ISBN: 978-3-540-22149-4 (Print) 978-3-540-34604-3 (Online)

Table of contents (23 chapters)

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  1. Front Matter

    Pages I-LIV

  2. Basic Definitions and No Arbitrage

    1. Front Matter

      Pages LV-LV

    2. No Access

      Book Chapter

      Pages 1-22

      Definitions and Notation

    3. No Access

      Book Chapter

      Pages 23-47

      No-Arbitrage Pricing and Numeraire Change

  3. From Short Rate Models to HJM

    1. Front Matter

      Pages 49-49

    2. No Access

      Book Chapter

      Pages 51-136

      One-factor short-rate models

    3. No Access

      Book Chapter

      Pages 137-181

      Two-Factor Short-Rate Models

    4. No Access

      Book Chapter

      Pages 183-192

      The Heath-Jarrow-Morton (HJM) Framework

  4. Market Models

    1. Front Matter

      Pages 193-193

    2. No Access

      Book Chapter

      Pages 195-312

      The LIBOR and Swap Market Models (LFM and LSM)

    3. No Access

      Book Chapter

      Pages 313-375

      Cases of Calibration of the LIBOR Market Model

    4. No Access

      Book Chapter

      Pages 377-443

      Monte Carlo Tests for LFM Analytical Approximations

  5. The Volatility Smile

    1. Front Matter

      Pages 445-445

    2. No Access

      Book Chapter

      Pages 447-452

      Including the Smile in the LFM

    3. No Access

      Book Chapter

      Pages 453-494

      Local-Volatility Models

    4. No Access

      Book Chapter

      Pages 495-516

      Stochastic-Volatility Models

    5. No Access

      Book Chapter

      Pages 517-544

      Uncertain-Parameter Models

  6. Examples of Market Payoffs

    1. Front Matter

      Pages 545-545

    2. No Access

      Book Chapter

      Pages 547-606

      Pricing Derivatives on a Single Interest-Rate Curve

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      Book Chapter

      Pages 607-640

      Pricing Derivatives on Two Interest-Rate Curves

  7. Inflation

    1. Front Matter

      Pages 641-641

    2. No Access

      Book Chapter

      Pages 643-647

      Pricing of Inflation-Indexed Derivatives

    3. No Access

      Book Chapter

      Pages 649-659

      Inflation-Indexed Swaps

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      Book Chapter

      Pages 661-667

      Inflation-Indexed Caplets/Floorlets

    5. No Access

      Book Chapter

      Pages 669-672

      Calibration to market data

    6. No Access

      Book Chapter

      Pages 673-687

      Introducing Stochastic Volatility

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      Book Chapter

      Pages 689-692

      Pricing Hybrids with an Inflation Component

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