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Interest Rate Models — Theory and Practice

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Cover of 'Interest Rate Models — Theory and Practice'

Table of Contents

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    Book Overview
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    Chapter 1 Definitions and Notation
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    Chapter 2 No-Arbitrage Pricing and Numeraire Change
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    Chapter 3 One-factor short-rate models
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    Chapter 4 Two-Factor Short-Rate Models
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    Chapter 5 The Heath-Jarrow-Morton (HJM) Framework
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    Chapter 6 The LIBOR and Swap Market Models (LFM and LSM)
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    Chapter 7 Cases of Calibration of the LIBOR Market Model
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    Chapter 8 Monte Carlo Tests for LFM Analytical Approximations
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    Chapter 9 Including the Smile in the LFM
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    Chapter 10 Local-Volatility Models
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    Chapter 11 Stochastic-Volatility Models
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    Chapter 12 Uncertain-Parameter Models
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    Chapter 13 Pricing Derivatives on a Single Interest-Rate Curve
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    Chapter 14 Pricing Derivatives on Two Interest-Rate Curves
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    Chapter 15 Pricing of Inflation-Indexed Derivatives
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    Chapter 16 Inflation-Indexed Swaps
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    Chapter 17 Inflation-Indexed Caplets/Floorlets
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    Chapter 18 Calibration to market data
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    Chapter 19 Introducing Stochastic Volatility
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    Chapter 20 Pricing Hybrids with an Inflation Component
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    Chapter 21 Introduction and Pricing under Counterparty Risk
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    Chapter 22 Intensity Models
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    Chapter 23 CDS Options Market Models
Attention for Chapter 10: Local-Volatility Models
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