Currency
Interest Rate Modelling after the Financial Crisis
£145.00
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.
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ISBN
9781906348939
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.
| ISBN | 9781906348939 |
|---|---|
| Navision code | MIRM |
| Publication date | 11 Jun 2013 |
| Size | 155mm x 235mm |
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Massimo Morini and Marco Bianchetti
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.
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