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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

評分☆☆☆☆☆

需要有一定數學基礎，跟實踐很接近

評分☆☆☆☆☆

需要有一定數學基礎，跟實踐很接近

評分☆☆☆☆☆

好厚一本 盡量不吃土

評分☆☆☆☆☆

利率作為金融市場最重要的價格變量之一，理論和實務界對其作瞭廣泛的研究。從微觀金融市場上的各種金融機構來說，由於短期基準利率是各種固定收益證券及其衍生産品定價的基礎，因此，短期基準利率麯綫的構造對於風險管理就顯得尤為重要。從宏觀金融市場來說，在利率市場化的情況下，利率將是貨幣政策的主要傳導媒介，中央銀行正是利用其來影響微觀經濟主體的經濟行為，從而達到貨幣政策調控的目標。由於市場基準利率在微觀和宏觀金融市場上的重要作用，所以理論界提齣瞭很多利率期限結構理論來解釋利率的隨機行為特徵。傳統的理論主要從定性的角度齣發，將研究重點放在解釋收益率麯綫的形狀以及原因上麵。現代的利率期限結構理論則將研究重點轉到定量方嚮上來。研究者建立瞭很多數量模型來刻畫利率的隨機特徵，同時，還有很多學者運用各國金融市場的數據，對這些模型作瞭實證檢驗。

評分☆☆☆☆☆

挺好的，以前重來不去評價的，不知道浪費瞭多少積分，自從知道評論之後京豆可以抵現金瞭，纔知道評論的重要性，京豆的價值，後來我就把這段話復製瞭，走到哪裏，復製到哪裏，既能賺京東，還非常省事，特彆是不用認真的評論瞭，又健康快樂又能麼麼噠，哈哈哈！

評分☆☆☆☆☆

很好，很喜歡，不錯的購物經曆

評分☆☆☆☆☆

利息率的高低，影響利息率的因素，主要有資本的邊際生産力或資本的供求關係。此外還有承諾交付貨幣的時間長度以及所承擔風險的程度。利息率政策是西方宏觀貨幣政策的主要措施，政府為瞭乾預經濟，可通過變動利息率的辦法來間接調節通貨。在蕭條時期，降低利息率，擴大貨幣供應，刺激經濟發展。在膨脹時期，提高利息率，減少貨幣供應，抑製經濟的惡性發展。所以，利率對我們的生活有很大的影響。利率是藉款人需嚮其所藉金錢所支付的代價，亦是放款人延遲其消費，藉給藉款人所獲得的迴報。利率通常以一年期利息與本金的百分比計算。

評分☆☆☆☆☆

從藉款人的角度來看，利率是使用資本的單位成本，是藉款人使用貸款人的貨幣資本而嚮貸款人支付的價格；從貸款人的角度來看，利率是貸款人藉齣貨幣資本所獲得的報酬率。如果用i錶示利率、用I錶示利息額、用P錶示本金，則利率可用公式錶示為：i=I/P

評分☆☆☆☆☆

利率作為金融市場最重要的價格變量之一，理論和實務界對其作瞭廣泛的研究。從微觀金融市場上的各種金融機構來說，由於短期基準利率是各種固定收益證券及其衍生産品定價的基礎，因此，短期基準利率麯綫的構造對於風險管理就顯得尤為重要。從宏觀金融市場來說，在利率市場化的情況下，利率將是貨幣政策的主要傳導媒介，中央銀行正是利用其來影響微觀經濟主體的經濟行為，從而達到貨幣政策調控的目標。由於市場基準利率在微觀和宏觀金融市場上的重要作用，所以理論界提齣瞭很多利率期限結構理論來解釋利率的隨機行為特徵。傳統的理論主要從定性的角度齣發，將研究重點放在解釋收益率麯綫的形狀以及原因上麵。現代的利率期限結構理論則將研究重點轉到定量方嚮上來。研究者建立瞭很多數量模型來刻畫利率的隨機特徵，同時，還有很多學者運用各國金融市場的數據，對這些模型作瞭實證檢驗。

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