• Choose your currency
  • GBP
  • EUR
  • USD

You have no items in your shopping basket.

0 items
£0.00

Interest Rate Modelling after the Financial Crisis

Edited By Massimo Morini and Marco Bianchetti

Overview

Typically literature on the subject of interest rate modelling is based on the assumption of risk-free interest rate markets. Clearly this assumption no longer holds water. As a consequence of the crisis, market participants have been alerted to risk factors which had previously been neglected. This knowledge has led to important changes in the patterns of market data and to new approaches in interest rate modelling.


As interest rate markets continue to innovate and expand in this new landscape, it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. In Interest Rate Modelling after the Financial Crisis, Massimo Morini and Marco Bianchetti address and explicate these changes, gathering the latest ideas on post-crisis market modelling and applying new methods to market data and market practice.

Publish date: 11 Jun 2013

Availability: In stock

Product Unit Price Qty
Interest Rate Modelling after the Financial Crisis
£145.00
eBook - Interest Rate Modelling after the Financial Crisis
EPUB
£110.00
OR

Book description

In response to the financial crisis, a plethora of new research appeared which attempted to understand, incorporate, and delineate the most significant changes observed in the market.  Editors Massimo Morini and Marco Bianchetti have both experienced first-hand how market patterns and consequently trading practices have evolved.

For Interest Rate Modelling after the Financial Crisis, they have assembled a team of expert contributors who articulate and formalise the most important of these changes and the new methodologies which have accompanied them. Contributors include Fabio Mercurio (Senior Quant Researcher at Bloomberg, New York), Akihiko Takahashi (Professor at the Graduate School of Economics, University of Tokyo), Marc Henrard (Member of the Quantitative Research Team at OpenGamma) and Messaoud Chibane (Head of Quantitative Research at Shinsei Bank). Their chapters analyse the latest developments in interest rate modelling, focusing particularly on derivatives markets, derivatives pricing, interest rate term structure and volatility modelling, and interest rate derivatives pricing models.

Key chapters include:

  • Irony in Derivative Discounting: After the Crisis
  • Interest Rate Modelling under the Full Collateralization
  • Multi-Curve Low Dimensional Markovian Models in a HJM Framework
  • LIBOR Market Models with Stochastic Basis

This book is essential reading for quantitative analysts, risk managers and risk controllers, model validation groups, independent price verification groups, and all professionals interested in updating their understanding of the interest rate market after the crisis.

Book details

ISBN
Book 9781906348939 / EBook 9781782720379
Publish date
11 Jun 2013
Format
Paperback
Size
155mm x 235mm

Editor biography

Massimo Morini and Marco Bianchetti

Massimo Morini is currently Head of Interest Rates, Credit and Inflation Models at Banca IMI Intesa San Paolo (where he is also responsible for coordinating Model Research). Massimo is a Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of City University, London. He holds a PhD in Mathematics and an MSc in Economics.

Massimo regularly delivers advanced training on credit modelling, interest rate market models, correlation modelling and model risk. He has led workshops on financial modelling and the credit crunch in the main international finance conferences. His papers have appeared in Risk Magazine, Mathematical Finance, the Journal of Derivatives and the Journal of Applied Mathematical Finance. 

Marco Bianchetti is Senior Quantitative Analyst in the Market Risk Management, Pricing and Financial Modelling area of Banca Intesa San Paolo, Italy. His recent work focuses on model validation, model risk monitoring and on the pricing and risk analysis of interest rate and inflation derivatives. Previously he worked for six years in the front-office financial engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for fixed income trading desks. He holds an MSc and a PhD in theoretical physics from the University of Milan.

Table of contents

Introduction

Part I: Interest Rate Markets Across the Crunch                

1: Evolution of the Markets after the Credit Crunch
Marco Bianchetti and Mattia Carlicchi
Banca Intesa Sanpaolo

2: Solving the Puzzle in the Interest Rate Market           
Massimo Morini
Banca IMI, Milan

Part II: Modern Pricing of Interest Rate Derivatives        

3: Modern Pricing of Interest Rate Derivatives including Funding and Collateral
Marco Bianchetti
Banca Intesa Sanpaolo

4: Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Discount and FRA Rates Estimation
Ferdinando M. Ametrano; Marco Bianchetti
Banca IMI; Banca Intesa Sanpaolo

5: Irony in Derivative Discounting: After the Crisis
Marc Henrard
OpenGamma

6: Interest Rate Modelling under Full Collateralisation
Masaaki Fujii and Akihiko Takahashi
Graduate School of Economics, The University of Tokyo

7: Building Curves on a Good Basis
Messaoud Chibane, Japrakash Selvaraj; Guy Sheldon
Shinsei Bank Limited; ANZ Banking Corporation

Part III: New Interest Rate Models         

8: Libor Market Models with Stochastic Basis
Fabio Mercurio
Bloomberg LP

9: Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis
Ahsan Amin
Infiniti Derivatives

10: Parsimonious Multi-Curve HJM Modelling with Stochastic Volatility
Nicola Moreni, Andrea Pallavicini
Banca IMI

11: Multi-Curve Low Dimensional Markovian Models in a HJM Framework
Manuel Torrealba Palacios
Nordea

12: Short Rate Models with Stochastic Basis and Smile
Chris Kenyon
Lloyds Banking Group

Customer Reviews

Average customer reviews for Interest Rate Modelling after the Financial Crisis
Incisive Media - AOP Digital Publisher of the Year 2010 & 2013