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Interest Rate Models
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Dewey Decimal Number: 332.82015118 EAN: 9783540417729 Edition: 1 ISBN: 3540417729 Label: Springer Manufacturer: Springer Number Of Items: 1 Number Of Pages: 518 Publication Date: August 09, 2001 Publisher: Springer Studio: Springer Accessories:
Browse for similar items by category: Click to Display Editorial Review: Product Description: Interest Rate Models Theory and Practice In implementing mathematical models for pricing interest rate derivatives one has to address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. This is an area that is rarely covered by books on mathematical finance. The book is meant both to help quantitative analysts and advanced traders price and hedge with a sound theoretical apparatus, and to encourage academics to develop a feeling for the practical problems in the interest rate market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. Advanced undergraduate students, graduate students and researchers should benefit from seeing how mathematics can be used in concrete financial problems. Average Rating:
 Rating: - Best book on interest rate modelsThis is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates. Rating: - The best book I have read on the subjectWith all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject. Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it. I would just say that this is certainly a must have in the field. Rating: - New stuff and nice overview: hard to beat!In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned. I've followed a similar path from control to finance, ... Read More Rating:  - Nicely written overview of interest rate modelsThis recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models" and the theoretical viewpoint such as the one in Musiela & Rutkowski. The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market ... Read More Rating: - Well written and useful bookIn my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book. 
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