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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): With Smile, Inflation and Credit (Springer Finance)


by Damiano Brigo
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): With Smile, Inflation and Credit (Springer Finance)
List Price: £50.00
Our Price: £47.05
Your Save: £ 0.00 ( % )
Availability: Usually dispatched within 24 hours
Manufacturer: Springer
Average Customer Rating: Average rating of 4.5/5Average rating of 4.5/5Average rating of 4.5/5Average rating of 4.5/5Average rating of 4.5/5

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Binding: Hardcover
Dewey Decimal Number: 332.82015118
EAN: 9783540221494
ISBN: 3540221492
Label: Springer
Number Of Items: 1
Number Of Pages: 981
Publication Date: 2006-08-04
Publisher: Springer
Studio: Springer

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Spotlight customer reviews:

Customer Rating: Average rating of 4/5Average rating of 4/5Average rating of 4/5Average rating of 4/5Average rating of 4/5

Summary: Good book if you've got past Baxter and Rennie

Comment: This is a good overview of some of the more complex interest rate models, however it does assume familiatrity with the fundamental theorem of finance and hence why martingales are important. It assumes the reader knows all about filtration, probability spaces and changes of measure (Radon Nikodym derivatives and the change of measure theorem). If you are not already familiar with all this then the book will not be helpful to you - read something more basic like Financial Calculus (Baxter and Rennie).

Aside to the technical content, I find many of the quotes at the beginning of each chapter (usually from DC comics) pointless and sometimes irritating.


Customer Rating: Average rating of 5/5Average rating of 5/5Average rating of 5/5Average rating of 5/5Average rating of 5/5

Summary: A must for quant

Comment: Good reference for the available interest rate model, especially for the pricing of some complex interest rate derivatives. A must for IRD Quants.



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