How Long to Read Interest Rate Models - Theory and Practice

How Long Does it Take to Read Interest Rate Models - Theory and Practice?

It takes the average reader 16 hours and 29 minutes to read Interest Rate Models - Theory and Practice by Damiano Brigo

Assuming a reading speed of 250 words per minute. Learn more

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 a new chapter. 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 a new chapter. 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.

How long is Interest Rate Models - Theory and Practice?

Interest Rate Models - Theory and Practice by Damiano Brigo is 982 pages long, and a total of 247,464 words.

This makes it 331% the length of the average book. It also has 302% more words than the average book.

How Long Does it Take to Read Interest Rate Models - Theory and Practice Aloud?

The average oral reading speed is 183 words per minute. This means it takes 22 hours and 32 minutes to read Interest Rate Models - Theory and Practice aloud.

What Reading Level is Interest Rate Models - Theory and Practice?

Interest Rate Models - Theory and Practice is suitable for students ages 12 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Interest Rate Models - Theory and Practice?

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