back to Damiano Brigo’s professional page. Interest Rate Models: Theory and Practice – With Smile, Inflation and Credit. (, 2nd Ed. ) by Damiano Brigo. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Front Cover · Damiano Brigo, Fabio Mercurio. Springer Science. The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably.

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The authors give a rigorous formulation of this assertion by proving a general counterparty risk pricing formula. The theory is interwoven with detailed numerical examples.

Interest Rate Models Theory and Practice

Praise for the Second edition. My library Help Advanced Book Search. With Smile, Inflation and Credit. His class is really fantastic as well as the book he wrote. 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 a new part.

Professional Area of Damiano Brigo’s web site

Leia mais Leia menos. Application-based but it still contains useful proof of formulas. This option is attainable by dealing only in a stock and a bond. The time evolution of the riskless bond is merely exponential, as expected, but that of the risky security is random according to a geometric Brownian motion. Account Options Sign in. Interest Rate Models – Theory and Practice: A clear benefit of the approach presented in this book is that practice can help to appreciate theory thus generating a feedback that is one of the most intriguing aspects of modeling and more generally of scientific investigation.


In this discussion the authors focus on a portfolio consisting of riskless security bond and a risky security stock that pays no dividend. Compartilhe seus pensamentos com outros clientes. The authors unfortunately modele not include a discussion on how to calibrate this model to market data, but instead delegate it to the references. Monte Carlo ptactice, which are the bread and butter of financial modeling along with many other fields of modeling are used to simulate the default time.

Advanced undergraduate students, graduate students and researchers should benefit as well from seeing how some sophisticated mathematics can be used in concrete financial problems.

Formas de pagamento aceitas: There is also interesst excellent list of “theoretical” and “practical” questions in the preface that the authors use to motivate the book, along with a detailed summary of upcoming chapters. The authors’ applied background allows for numerous comments on why certain models have or have not made it in practice.

It perfectly combines mathematical depth, historical perspective and practical relevance. This filtration can be viewed as essentially a collection of events that occur or not depending on the history of the stock price. Places on the web where the book can be ordered. If this value drops below a certain level, the firm is taken to be insolvent.


It is true that every month a new book on financial modeling or on mathematical finance comes out, but this is a good one. The modeling of interest rates is now a multi-million dollar business, and this is likely to grow in the years ahead as worries about quantitative easing, government budgets, housing markets, and corporate borrowing have shown no sign of abatement. This is a very detailed course on interest rate models.

I really enjoyed the experience having him as my Professor.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. But the Vasicek model allows negative interest rates and is mean reverting.

The book will most likely become … one of the standard references in the area. Selected pages Title Page.