利率模型理論和實踐（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] 下載 mobi epub pdf 電子書 2024

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　　 《利率模型理論和實踐（第2版）》是一部詳細講述利率模型的書，旨在將該領域的理論和實踐聯係起來，在第一版的基礎上增加瞭許多新特徵。有關LIBOR市場模型中的“Smile”部分得到瞭極大的豐富，已有內容擴充為幾個新的章節。書中增加瞭瞬時相關矩陣的曆史估計，局部波動動力學和隨機波動模型，全麵講述瞭新發展較快的不確定波動率方法。跟膨脹有關的衍生品定價講述的較為詳細。
讀者對象：數學專業研究生、老師和經濟、金融的相關人員。

內頁插圖

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

精彩書摘

In the recent years， there has been an increasing interest for hybrid structures whose payoff is based on assets belonging to different markets. Among them， derivatives with an inflation component are getting more and more popular. In 利率模型理論和實踐（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] 下載 mobi epub pdf txt 電子書 格式

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很好，很喜歡，不錯的購物經曆

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凱恩斯把利率看作是

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利率模型的集大成之作

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現代經濟中，利率作為資金的價格，不僅受到經濟社會中許多因素的製約，而且，利率的變動對整個經濟産生重大的影響，因此，現代經濟學傢在研究利率的決定問題時，特彆重視各種變量的關係以及整個經濟的平衡問題，利率決定理論也經曆瞭古典利率理論、凱恩斯利率理論、可貸

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利率（interest rate），就錶現形式來說，是指一定時期內利息額同藉貸資本總額的比率。利率是單位貨幣在單位時間內的利息水平，錶明利息的多少。經濟學傢一直在緻力於尋找一套能夠完全解釋利率結構和變化的理論。利率通常由國傢的中央銀行控製，在美國由聯邦儲備委員會管理。現在，所有國傢都把利率作為宏觀經濟調控的重要工具之一。當經濟過熱、通貨膨脹上升時，便提高利率、收緊信貸；當過熱的經濟和通貨膨脹得到控製時，便會把利率適當地調低。因此，利率是重要的基本經濟因素之一。

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資金利率理論、IS－LM利率分析以及當代動態的利率模型的演變、發展過程。

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不錯不湊不錯不錯不錯不湊

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固定收益模型的經典，非常全

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