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Modelling Interest Rates

Edited By Fabio Mercurio

Overview

The increasing complexity of the derivatives market requires a better knowledge of advanced modelling techniques specifically designed to accommodate the great deal of volatility data quoted by the market.

In Modelling Interest Rates, some of the most renowned practitioners and academics working in the interest rate area provide contributions on the latest developments in interest rate modelling, focusing primarily on the practical implementation of the latest derivatives pricing models.

Publish date: 1 May 2009

Availability: In stock

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Book description

Modelling Interest Rates is an invaluable aid to researchers who aim to get acquainted with the new trends in the interest rate models and to practitioners with a need to use increasingly sophisticated tools to price exotic claims consistently with the information on the underlying variables that is provided by the market in terms of “plain vanilla” quotes.

This book will be essential reading for:

  • Interest rate modellers
  • Risk managers
  • Risk modellers
  • Interest rate analysts
  • Derivatives traders
  • Pricing managers

Book details

ISBN
9781906348137
Publish date
1 May 2009
Format
Size
155mm x 235mm

Editor biography

Fabio Mercurio

Fabio Mercurio is Senior Quant Researcher at Bloomberg, New York. He holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam.

His recent scientific interests include interest rate and inflation modelling, the pricing of hybrids and the smile modelling for the main asset classes. Fabio has published several articles in journals such as Mathematical Finance, Quantitative Finance, Finance and Stochastics and Risk.

Table of contents

PART I MULTI-CURVE MODELLING

1 Bootstrapping the Illiquidity

Ferdinando M. Ametrano; Marco Bianchetti

Banca IMI; Banca IntesaSanpaolo

2 Yield Spread Options under the DLG Model

Masaaki Kijima, Keiichi Tanaka; Tony Wong

Tokyo Metropolitan University; Mizuho Securities Co Ltd

PART II NEW ADVANCES ON LIBOR MARKET MODELS

3 Nonparametric Calibration of Forward Rate Models

Dariusz Gatarek

National Bank of Poland and Systems Research Institute PAS

4 On the Calibration of the Market Model with a Square-Root

Volatility Process

Lixin Wu

The Hong Kong University of Science and Technology

5 No-Arbitrage Dynamics and Formulas for a Tractable SABR

Term-Structure Model

Fabio Mercurio; Massimo Morini

Bloomberg; Banca IMI

6 The Longstaff–Schwartz Algorithm and Effective Model

Dimensionality

Phil Hunt; Joanne Kennedy

Citigroup; University of Warwick

PART III HEDGING ISSUES

7 Dynamics Misspecification in Local-Stochastic Volatility Models

Giuseppe Di Graziano; Stefano Galluccio

Deutsche Bank; BNP Paribas

8 A Note on Hedging with Local and Stochastic Volatility Models

Fabio Mercurio; Massimo Morini

Bloomberg; Banca IMI

PART IV THE PRICING OF SPECIFIC CONTRACTS

9 Libor Volatility Derivatives

Nicolas Merener

Universidad Torcuato Di Tella

10 Smile-Consistent CMS Adjustments in Closed Form

Antonio Castagna, Fabio Mercurio and Marco Tarenghi

Banca IMI

11 Cap Pricing in Term-Structure Models with Stochastic Volatility

Ali Hirsa, Li Bao; Dilip B. Madan

Caspian Capital Management, LLC; University of Maryland

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