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Modern Trends in Logistic Research
Manufacturer: The MIT Press ProductGroup: Book Binding: Hardcover ASIN: 0262131226 |
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Modern Trends in Logistics Research: Proceedings of a Conference Held at The George Washington University
W.H. Marlow (ed.) Manufacturer: The MIT Press ProductGroup: Book Binding: Paperback ASIN: B000OQ8HIC |
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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Damiano Brigo , and Fabio Mercurio Manufacturer: Springer ProductGroup: Book Binding: Hardcover Similar Items:
Accessories:
ASIN: 3540221492 |
Book Description
The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.
The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.
The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.
The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Customer Reviews:
Best book on interest rate models.......2002-12-14
The best book I have read on the subject.......2002-05-06
Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.
I would just say that this is certainly a must have in the field.
New stuff and nice overview: hard to beat!.......2002-01-17
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.
Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.
The detailed explanation on products is a much welcome original addition. Cross currency derivatives!
Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.
Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.
This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.
Nicely written overview of interest rate models.......2001-12-15
The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).
In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".
Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.
This book can also be used for a graduate level/PhD course on interest rate models.
There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.
Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.
Well written and useful book.......2001-11-04
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Understanding Interest Rate Swaps
Mary S. Ludwig Manufacturer: McGraw-Hill ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0070390207 |
Book Description
Interest rate swaps--used globally by both corporate finance departments and investment firms to control interest payments, manage debt, and enhance investment portfolios--constitute a growing 1.9 trillion market. Now, financial personnel, swap traders, corporate treasurers, and professional cash managers can turn to this clear, authoritative guide to master all the methodologies used in the international swap market. Written for anyone whose work is touched by swap market activity, the guide uses diagramming techniques to first explain what swaps are, and how and why they are traded. It then addresses more sophisticated financial transactions, such as rate setting, analysis of swap desks, market-to-market, speculating, and financial statements. Readers will find detailed coverage of more than two dozen derivative products, including spreadlocks, swaptions, caps, and flows, and learn how swap trading works in foreign currencies and interest rates. Critical light is also shed on questions regulators are currently raising about the security and future of the swaps markets.Customer Reviews:
Me thinks some reviewers protest too much.......2004-07-11
Outdated and Shallow.......1999-09-02
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Measuring and Controlling Interest Rate and Credit Risk
Frank J. Fabozzi , Steven V. Mann , and Moorad Choudhry Manufacturer: Wiley ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0471268062 |
Book Description
Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes information on measuring yield curve risk, swaps and exchange-traded options, TC options and related products, and describes how to measure and control the interest rate of risk of a bond portfolio or trading position.Measuring and Controlling Interest Rate and Credit Risk is a systematic evaluation of how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position, defining key points in the process of risk management as related to financial situations. The authors construct a verbal flow chart, defining and illustrating interest rate risk and credit risk in regards to valuation, probability distributions, forecasting yield volatility, correlation and regression analyses. Hedging instruments discussed include futures contracts, interest rate swaps, exchange traded options, OTC options, and credit derivatives. The text includes calculated examples and readers will learn how to measure and control the interest rate risk and credit risk of a bond portfolio or trading position. They will discover value at risk approaches, valuation, probability distributions, yield volatility, futures, interest rate swaps, exchange traded funds; and find in-depth, up-to-date information on measuring interest rate with derivatives, quantifying the results of positions, and hedging.
Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale Universitys School of Management.
Steven V. Mann (Columbia, SC) is Professor of Finance at the Moore School of Business, University of South Carolina. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finance services in London.
Moorad Choudhry (Surrey, England) is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and is Editor of the Journal of Bond Trading and Management. He has authored a number of books on fixed income analysis and the capital markets. Moorad began his City career with ABN Amro Hoare Govett Sterling Bonds Limited, where he worked as a gilt-edged market maker, and Hambros Bank Limited where he was a sterling proprietary trader. He is currently a vice-president in Structured Finance Services with JPMorgan Chase Bank in London.
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The effect of bank-held derivatives on credit accessibility (Issues in financial regulation working paper series)
Elijah Brewer Manufacturer: Federal Reserve bank of Chicago ProductGroup: Book Binding: Unknown Binding ASIN: B0006P75SY |
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Interest Rate and Credit Derivatives (Springer Finance)
Stefano Galluccio , Andrea Roncoroni , and Steven Hutt Manufacturer: Springer ProductGroup: Book Binding: Hardcover ASIN: 3540401091 |
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Pragmatism and Judicial Choice (Critic of Institutions, Vol. 11)
Denis J. Brion Manufacturer: Peter Lang Publishing ProductGroup: Book Binding: Hardcover ASIN: 0820431095 |
Book Description
A central focus of scholarly discourse in law is the phenomenon of endemic change in the substantive content of judicial doctrine, the manifest structure of rules and principles that determine the outcomes of litigated disputes. This discourse constitutes a debate over whether this phenomenon undermines the legitimacy of the judicial process in the Rule of Law system by which the society of the United States is popularly perceived to be governed. Pragmatism and Judicial Choice is a collection of essays that use the concepts of semiotics to subject various aspects of the judicial process in the United States to analysis and critique for the purpose of demonstrating that endemic instability does not undermine judicial legitimacy, but instead is an inevitable consequence of the judicial process when it is functioning in a manner consistent with its institutional nature.
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The Scyth Book
David Tresemer Manufacturer: Stephen Greene Pr ProductGroup: Book Binding: Paperback ASIN: 093867000X |
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Multimedia Methods in Cell Biology Windows Ver
J. R. Harris , D. Rickwood , and James N. Martin Manufacturer: CRC Press ProductGroup: Book Binding: CD-ROM ASIN: 041283510X |
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Multimedia Methods in Molecular Biology for Windows (Multimedia Methods on CD-ROM)
Steve Sheardown , and Mark Dixon Manufacturer: Springer ProductGroup: Book Binding: CD-ROM ASIN: 0412730707 |
Book Description
The first title in an important new series, this revolutionary new reference source and training aid provides information on over 200 key molecular biology protocols. Each method contains detailed step-by-step instructions to show procedures and results clearly, using video clips with sound commentary, illustrations, and animations to illustrate techniques. A glossary, hazard information and hints and tips on the methods are also included. Links are provided between related methods and in addition, a unique protocol building feature enables users to link-up protocols, to include their own preferred procedures. Designed for research laboratories, it is expected that it will be used principally for training new staff and as a reference tool and laboratory documentation database.
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Earth System Science in the Anthropocene: Emerging Issues and Problems
C. Moss Manufacturer: Springer ProductGroup: Book Binding: Hardcover ASIN: 3540265880 |
Book Description
Earth System Science in the Anthropocene aims to provide an in-depth perspective and update on special topics in Global Environmental Change in relation to Human Security. It gives an overview on the new Joint Projects of the four International Global Change Programmmes and on research efforts in Germany. It is also an up-to-date report on emerging necessities in Global Environmental Change research as well as suggestions for its future development.
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Physics: Alg/Trig Vol 1 (Ch 1 -16) (Physics)
Eugene Hecht Manufacturer: Thomson Brooks/Cole ProductGroup: Book Binding: Mass Market Paperback ASIN: 053409130X |
Book Description
Interweaving modern and classical ideas of physics, Eugene Hecht offers students a fresh, narratively compelling presentation that emphasizes how things work. Unlike other texts for the course, Hecht uses the connection between symmetry principles and conservation law as a unifying theme to order the subject of physics and to help students understand physics as more than just a series of topics. Hecht draws from the ideas of biology, medicine, geology, astronomy, meteorology, and architecture to offer students a text that is both pragmatic and interdisciplinary.
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Y: The Last Man Vol. 6: Girl on Girl
Brian K. Vaughan Manufacturer: Vertigo ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 1401205011 |
Book Description
The latest volume in the gripping saga of Yorick Brown, an unemployed and unmotivated slacker that discovers that he is the only male left in a world inhabited solely by women after a plague of unknown origin instantly kills every mammal with a Y chromosome.Accompanied by his mischievous monkey and the mysterious Agent 355, Yorick embarks on a transcontinental journey to find his girlfriend and discover why he is the last man on Earth. This volume finds Yorick, Agent 355 and Dr. Mann traveling across the Pacific to Japan in pursuit of Yorick's stolen monkey Ampersand, whose innards may hold the key to mankind's futureCustomer Reviews:
Graphic SF Reader.......2007-09-03
Good, but perhaps weakest book in series.......2007-07-06
better and better.......2007-03-17
Australian Troubles.......2006-02-20
The weaker part of the Y series.......2006-02-07
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The Last of the Southern Girls (Voices of the South)
Willie Morris Manufacturer: Louisiana State University Press ProductGroup: Book Binding: Paperback Similar Items: ASIN: 0807119563 |
Customer Reviews:
Power, Politics, and Polite Society.......2000-04-10
A fast read about two worlds where words mean nothing and everything at the same time - a must for anyone interested in politics.
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Last Hero Standing (Spider-Girl)
Tom DeFalco , and Pat Olliffe Manufacturer: Marvel Comics ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 0785118233 |
Book Description
The great heroes of the Marvel Universe are vanishing without a trace! What has happened to Spider-Man, the Thing, the Scarlet Witch, Captain America, and the rest of the MU's heavy hitters? Spider-Girl, the Fantastic Five, and A-Next must join forces with today's superstars to uncover the answer - and the trail leads to a major Avengers villain! Does the presence of the Watcher signify the end of this age of heroes? Reprints Last Hero Standing #1-5.Customer Reviews:
Great book for all ages.......2005-12-25
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The Last Girl: A Novel
Stephan Collishaw Manufacturer: St. Martin's Press ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0312312989 |
Book Description
In the closing days of the twentieth century an elderly writer wanders the streets of Vilnius, Lithuania, possessed by the need to photograph the young mothers of the city. In their faces and the faces of their children he sees the reflection of a secret that haunts him. A secret he has spent years trying to bury. In a decaying back street of the city a woman struggles to raise her family. As her son dreams of a better life, she is torn between Vilnius' twilight world of prostitution and her deter-mination to secure hope for her children. She too is haunted by memories that rob her of sleep. In Vilnius the rubble of the Jewish ghetto lies side by side with the fallen statues of communist heroes. Through this tangled debris of past and present the story of the writer's great love and his even greater betrayal finally demands to be told.Customer Reviews:
Vilnius by candlelight.......2004-10-18
Simply heart breaking.......2004-05-11
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Batgirl Special No. 1 (The Last Batgirl Story)
Kitson, Patterson Randall Manufacturer: DC ProductGroup: Book Binding: Comic ASIN: B000VR505W |
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Nice Girls Finish Last: The Novel About Kids Who Bargain Their Souls to Win Beauty Contests (Erotica)
Alex Carter Manufacturer: Beacon ProductGroup: Book Binding: Paperback ASIN: B000NI0V08 |
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Dark One Vampire Series: A Girl's Guide to Vampires, Sex and the Single Vampire, Sex Lies and Vampires, Even Vampires Get the Blues, The Last of the Red-Hot Vampires (Set of 5 Paranormal Romance Novels)
Katie MacAlister Manufacturer: Signet Eclipse ProductGroup: Book Binding: Mass Market Paperback ASIN: B000V714FW |
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The Reef girl, the Last Novel of One of the Greatest Stroytellers of all Time
Zane Grey Manufacturer: harper and Row ProductGroup: Book Binding: Hardcover ASIN: B000UWQAL6 |
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