000			04210nam a22003975i 4500
001			295595
003			MX-SnUAN
005			20160429155233.0
007			cr nn 008mamaa
008			150903s2006 gw | o |||| 0|eng d
020			_a9783540346043 _99783540346043
024	7		_a10.1007/9783540346043 _2doi
035			_avtls000348948
039		9	_a201509030439 _bVLOAD _c201405050342 _dVLOAD _y201402071041 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aHB135-147
100	1		_aBrigo, Damiano. _eautor _9330134
245	1	0	_aInterest Rate Models — Theory and Practice : _bWith Smile, Inflation and Credit / _cby Damiano Brigo, Fabio Mercurio.
250			_aSecond Edition.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2006.
300			_brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aSpringer Finance
500			_aSpringer eBooks
505	0		_aBasic Definitions and No Arbitrage -- Definitions and Notation -- No-Arbitrage Pricing and Numeraire Change -- From Short Rate Models to HJM -- One-factor short-rate models -- Two-Factor Short-Rate Models -- The Heath-Jarrow-Morton (HJM) Framework -- Market Models -- The LIBOR and Swap Market Models (LFM and LSM) -- Cases of Calibration of the LIBOR Market Model -- Monte Carlo Tests for LFM Analytical Approximations -- The Volatility Smile -- Including the Smile in the LFM -- Local-Volatility Models -- Stochastic-Volatility Models -- Uncertain-Parameter Models -- Examples of Market Payoffs -- Pricing Derivatives on a Single Interest-Rate Curve -- Pricing Derivatives on Two Interest-Rate Curves -- Inflation -- Pricing of Inflation-Indexed Derivatives -- Inflation-Indexed Swaps -- Inflation-Indexed Caplets/Floorlets -- Calibration to market data -- Introducing Stochastic Volatility -- Pricing Hybrids with an Inflation Component -- Credit -- and Pricing under Counterparty Risk -- Intensity Models -- CDS Options Market Models.
520			_aThe 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. 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 several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.  The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.  The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aMercurio, Fabio. _eautor _9330135
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783540221494
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-540-34604-3 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942			_c14
999			_c295595 _d295595