利率模型理论和实践（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] epub pdf mobi txt 电子书 下载 2024

利率模型理论和实践（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] epub pdf mobi txt 电子书 下载 2024

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利率模型理论和实践（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] epub pdf mobi txt 电子书 下载 2024

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内容简介

　　 《利率模型理论和实践（第2版）》是一部详细讲述利率模型的书，旨在将该领域的理论和实践联系起来，在第一版的基础上增加了许多新特征。有关LIBOR市场模型中的“Smile”部分得到了极大的丰富，已有内容扩充为几个新的章节。书中增加了瞬时相关矩阵的历史估计，局部波动动力学和随机波动模型，全面讲述了新发展较快的不确定波动率方法。跟膨胀有关的衍生品定价讲述的较为详细。
读者对象：数学专业研究生、老师和经济、金融的相关人员。

内页插图

目录

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

精彩书摘

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

利率模型理论和实践（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] epub pdf mobi txt 电子书 下载 2024

利率模型理论和实践（第2版） [Interest Rate Models - Theory and Practice:With Smile， Inflation and Credit] 下载 epub mobi pdf txt 电子书 2024

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需要有一定数学基础，跟实践很接近

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马克思的利率决定理论是从利息的来源和实质的角度，考虑了制度因素在利率决定中的作用的利率理论，其理论核心是利率是由平均利润率决定的。马克思认为在资本主义制度下，利息是利润的一部分,是剩余价值的一种转换形式。利息的独立化，对于真正显示资金使用者在再生产过程中所起的能动作用有积极意义。

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一般来说，利率根据计量的期限标准不同，表示方法有年利率、月利率、日利率。

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资金利率理论、IS－LM利率分析以及当代动态的利率模型的演变、发展过程。

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现代经济中，利率作为资金的价格，不仅受到经济社会中许多因素的制约，而且，利率的变动对整个经济产生重大的影响，因此，现代经济学家在研究利率的决定问题时，特别重视各种变量的关系以及整个经济的平衡问题，利率决定理论也经历了古典利率理论、凯恩斯利率理论、可贷

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利率期限结构是一个随着金融实践不断发展和完善的研究课题，传统的理论重点研究收益率曲线形状及其形成原因，主要有预期理论假说、流动性理论和市场分割理论。现代的理论研究则是在规避利率风险，金融市场创新层出不穷的背景下展开的。为了对利率衍生品进行合理的定价，现代的理论研究重点转向定量的模型，试图运用随机数学来描述利率的随机波动，并取得了一系列的研究成果，主要包括均衡模型和无套利模型。这些模型的建立给利率衍生品定价提供了很好的理论基础，并为实践中准确把握利率的波动提供了很好的方法。

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