Modern Interest Rate Markets and Models: Multiple Curves, Collateral, Funding and Credit Marco Bianchetti

ISBN: 9781118441985

Published: January 31st 2014

ebook

416 pages


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Modern Interest Rate Markets and Models: Multiple Curves, Collateral, Funding and Credit  by  Marco Bianchetti

Modern Interest Rate Markets and Models: Multiple Curves, Collateral, Funding and Credit by Marco Bianchetti
January 31st 2014 | ebook | PDF, EPUB, FB2, DjVu, AUDIO, mp3, ZIP | 416 pages | ISBN: 9781118441985 | 8.79 Mb

An indispensable working resource for quants, risk managers, traders and all finance professionals concerned with interest rates and pricing modelsThe global credit crunch and its aftermath have seen historic changes in the patterns of interest rateMoreAn indispensable working resource for quants, risk managers, traders and all finance professionals concerned with interest rates and pricing modelsThe global credit crunch and its aftermath have seen historic changes in the patterns of interest rate market data giving rise to radically new approaches to interest rate modeling.

Most savvy traders and speculators understand the importance of these changes, especially as concerns derivatives trading and risk management, but details about them and their practical implications are hard to come by. Written by two of the EUs top quantitative analysts and risk management practitioners, this book provides comprehensive, practical coverage of the new world of interest rate theory and practice that has emerged over the past few years.The only book covering both modern interest rate theory and market practice for a range of financial productsExplores key changes in the interest rate market and illustrates the major shortcomings of attempting to apply classical modeling techniques to todays marketReveals the drivers behind new interest rate data patterns and develops a mathematical framework for understanding the current marketShows how to construct multiple interest curves and volatility surfaces and provides derivatives pricing techniques tailored to todays marketDemonstrates how to create multiple-curve versions of the most important interest rate models--including Black, SABR, Libor, and HJM



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