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2020-06-01 11:13 來源：京東作者：京東

內(nèi)容簡介:　　《利率模型理論和實(shí)踐（第2版）》是一部詳細(xì)講述利率模型的書，旨在將該領(lǐng)域的理論和實(shí)踐聯(lián)系起來，在第一版的基礎(chǔ)上增加了許多新特征。有關(guān)LIBOR市場模型中的“Smile”部分得到了極大的豐富，已有內(nèi)容擴(kuò)充為幾個新的章節(jié)。書中增加了瞬時(shí)相關(guān)矩陣的歷史估計(jì)，局部波動動力學(xué)和隨機(jī)波動模型，全面講述了新發(fā)展較快的不確定波動率方法。跟膨脹有關(guān)的衍生品定價(jià)講述的較為詳細(xì)。
讀者對象：數(shù)學(xué)專業(yè)研究生、老師和經(jīng)濟(jì)、金融的相關(guān)人員。

目錄: Preface Motivation Aims， Readership and Book Structure Final Word and Acknowledgments Description of Contents by Chapter Abbreviations and Notation Part I. BASIC DEFINITIONS AND NO ARBITRAGE 1. Definitions and Notation 1.1 The Bank Account and the Short Rate 1.2 Zero-Coupon Bonds and Spot Interest Rates 1.3 Fundamental Interest-Rate Curves 1.4 Forward Rates 1.5 Interest-Rate Swaps and Forward Swap Rates 1.6 Interest-Rate Caps/Floors and Swaptions 2. No-Arbitrage Pricing and Numeraire Change 2.1 No-Arbitrage in Continuous Time 2.2 The Change-of-Numeraire Technique 2.3 A Change of Numeraire Toolkit(Brigo & Mercurio 2001c) 2.3.1 A helpful notation: "DC" 2.4 The Choice of a Convenient Numeraire 2.5 The Forward Measure 2.6 The Fundamental Pricing Formulas 2.6.1 The Pricing of Caps and Floors 2.7 Pricing Claims with Deferred Payoffs 2.8 Pricing Claims with Multiple Payoffs 2.9 Foreign Markets and Numeraire Change Part II. FROM SHORT RATE MODELS TO HJM 3. One-factor short-rate models 3.1 Introduction and Guided Tour 3.2 Classical Time-Homogeneous Short-Rate Models 3.2.1 The Vasicek Model 3.2.2 The Dothan Model 3.2.3 The Cox， Ingersoll and Ross (CIR) Model 3.2.4 Affine Term-Structure Models 3.2.5 The Exponential-Vasicek (EV) Model 3.3 The Hull-White Extended Vasicek Model 3.3.1 The Short-Rate Dynamics 3.3.2 Bond and Option Pricing 3.3.3 The Construction of a Trinomial Tree 3.4 Possible Extensions of the CIR Model 3.5 The Black-Karasinski Model 3.5.1 The Short-Rate Dynamics 3.5.2 The Construction of a Trinomial Tree 3.6 Volatility Structures in One-Factor Short-Rate Models 3.7 Humped-Volatility Short-Rate Models 3.8 A General Deterministic-Shift Extension 3.8.1 The Basic Assumptions 3.8.2 Fitting the Initial Term Structure of Interest Rates 3.8.3 Explicit Formulas for European Options 3.8.4 The Vasicek Case 3.9 The CIR++ Model 3.9.1 The Construction of a Trinomial Tree 3.9.2 Early Exercise Pricing via Dynamic Programming 3.9.3 The Positivity of Rates and Fitting Quality 3.9.4 Monte Carlo Simulation 3.9.5 Jump Diffusion CIR and CIR++ models (JCIR， JCIR++) 3.10 Deterministic-Shift Extension of Lognormal Models 3.11 Some Further Remarks on Derivatives Pricing 3.11.1 Pricing European Options on a Coupon-Bearing Bond 3.11.2 The Monte Carlo Simulation 3.11.3 Pricing Early-Exercise Derivatives with a Tree 3.11.4 A Fundamental Case of Early Exercise: BermudanStyle Swaptions. 3.12 Implied Cap Volatility Curves 3.12.1 The Black and Karasinski Model 3.12.2 The CIR++ Model 3.12.3 The Extended Exponential-Vasicek Model 3.13 Implied Swaption Volatility Surfaces 3.13.1 The Black and Karasinski Model 3.13.2 The Extended Exponential-Vasicek Model 3.14 An Example of Calibration to Real-Market Data Two-Factor Short-Rate Models 4.1 Introduction and Motivation 4.2 The Two-Additive-Factor Gaussian Model G2++ 4.2.1 The Short-Rate Dynamics 4.2.2 The Pricing of a Zero-Coupon Bond 4.2.3 Volatility and Correlation Structures in Two-Factor Models 4.2.4 The Pricing of a European Option on a Zero-Coupon Bond 4.2.5 The Analogy with the Hull-White Two-Factor Model 4.2.6 The Construction of an Approximating Binomial Tree 4.2.7 Examples of Calibration to Real-Market Data 4.3 The Two-Additive-Factor Extended CIR/LS Model CIR2++ 4.3.1 The Basic Two-Factor CIR2 Model 4 3 2 Relationship with the Longstaff and Schwartz Model (LS) 4.3.3 Forward-Measure Dynamics and Option Pricing for CIR2 4.3.4 The CIR2++ Model and Option Pricing 5. The Heath-Jarrow-Morton (HJM) Framework 5.1 The HJM Forward-Rate Dynamics 5.2 Markovianity of the Short-Rate Process 5.3 The Ritchken and Sankarasubramanian Framework 5.4 The Mercurio and Moraleda Model Part III. MARKET MODELS 6. The LIBOR and Swap Market Models (LFM and LSM) 6.1 Introduction 6.2 Market Models: a Guided Tour. 6.3 The Lognormal Forward-LIBOR Model (LFM) 6.3.1 Some Specifications of the Instantaneous Volatility of Forward Rates 6.3.2 Forward-Rate Dynamics under Different Numeraires 6.4 Calibration of the LFM to Caps and Floors Prices 6.4.1 Piecewise-Constant Instantaneous-Volatility Structures 6.4.2 Parametric Volatility Structures 6.4.3 Cap Quotes in the Market 6.5 The Term Structure of Volatility 6.5.1 Piecewise-Constant Instantaneous Volatility Structures 6.5.2 Parametric Volatility Structures 6.6 Instantaneous Correlation and Terminal Correlation 6.7 Swaptious and the Lognormal Forward-Swap Model (LSM) 6.7.1 Swaptions Hedging 6.7.2 Cash-Settled Swaptions 6.8 Incompatibility between the LFM and the LSM 6.9 The Structure of Instantaneous Correlations 6.9.1 Some convenient full rank parameterizations 6.9.2 Reduced-rank formulations: Rebonato's angles and eigen- values zeroing 6.9.3 Reducing the angles 6.10 Monte Carlo Pricing of Swaptions with the LFM 6.11 Monte Carlo Standard Error 6.12 Monte Carlo Variance Reduction: Control Variate Estimator 6.13 Rank-One Analytical Swaption Prices 6.14 Rank-r Analytical Swaption Prices 6.15 A Simpler LFM Formula for Swaptions Volatilities 6.16 A Formula for Terminal Correlations of Forward Rates 6.17 Calibration to Swaptions Prices 6.18 Instantaneous Correlations: Inputs (Historical Estimation) or Outputs (Fitting Parameters)? 6.19 The exogenous correlation matrix 6.19.1 Historical Estimation 6.19.2 Pivot matrices 6.20 Connecting Caplet and S x 1-Swaption Volatilities 6.21 Forward and Spot Rates over Non-Standard Periods 6.21.1 Drift Interpolation 6.21.2 The Bridging Technique 7. Cases of Calibration of the LIBOR Market Model 7.1 Inputs for the First Cases 7.2 Joint Calibration with Piecewise-Constant Volatilities as in TABLE 5 7.3 Joint Calibration with Parameterized Volatilities as in Formulation 7 7.4 Exact Swaptions "Cascade" Calibration with Volatilities as in TABLE 1 7.4.1 Some Numerical Results 7.5 A Pause for Thought 7.5.1 First summary 7.5.2 An automatic fast analytical calibration of LFM to swaptions. Motivations and plan 7.6 Further Numerical Studies on the Cascade Calibration Algorithm …… 8.Monte Carlo Tests for LFM Analytical Approximations Part Ⅳ.THE VOLATILITY SMILF 9.Including the Smile in the LFM 10.Local-Volatility Models 11.Stochasti-Volatility Models 12.Uncertain-Parameter Models Part Ⅴ.EXAMPLES OF MARKET PAYOFFS 13.Pricing Derivatives on a Single Interest-Rate Curve 14.Pricing Derivatives on Two Interest-Rate Curves Part Ⅵ.INFLATION 15.Pricing of Inflation-Indexed Derivatives 16.Inflation Indexed Swaps 17.Inflation-Indexed Caplets/Floorlets 18.Calibration to market data 19.Introducing Stochastic Volatility 20.Pricing Hybrids with an Inflation Component Part Ⅶ.CREDIT 21.Introduction and Pricing under Counterparty Risk 22.Intensity Models 23.CDS Options Market Models Part Ⅷ.APPENDICES A.Other Interest-Rate Models B.Pricing Equity Derivatives under Stochastic Rates C.A Crash Intro to Stochastic Differential Equations and Poisson Processes D.A Useful Calculation E.A Second Useful Calculation F.Approximating Diffusions with Trees G.Trivia and Frequently Asked Questions H.Talking to the Traders References Index

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