Interest Rate Modelling after the Financial Crisis

Interest Rate Modelling after the Financial Crisis

By: Massimo Morini (editor), Marco Bianchetti (editor)Paperback

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In response to the financial crisis, a plethora of new research appeared which attempted to understand, incorporate, and delineate the most significant changes observed in the market. Editors Massimo Morini and Marco Bianchetti have both experienced first-hand how market patterns and consequently trading practices have evolved. For Interest Rate Modelling after the Financial Crisis, they have assembled a team of expert contributors who articulate and formalise the most important of these changes and the new methodologies which have accompanied them. Contributors include Fabio Mercurio (Senior Quant Researcher at Bloomberg, New York), Akihiko Takahashi (Professor at the Graduate School of Economics, University of Tokyo), Marc Henrard (Member of the Quantitative Research Team at OpenGamma) and Messaoud Chibane (Head of Quantitative Research at Shinsei Bank). Their chapters analyse the latest developments in interest rate modelling, focusing particularly on derivatives markets, derivatives pricing, interest rate term structure and volatility modelling, and interest rate derivatives pricing models. Key chapters include: - Irony in Derivative Discounting: After the Crisis - Interest Rate Modelling under the Full Collateralization - Multi-Curve Low Dimensional Markovian Models in a HJM Framework - LIBOR Market Models with Stochastic Basis This book is essential reading for quantitative analysts, risk managers and risk controllers, model validation groups, independent price verification groups, and all professionals interested in updating their understanding of the interest rate market after the crisis.

About Author

Massimo Morini is currently Head of Interest Rates, Credit and Inflation Models at Banca IMI Intesa San Paolo (where he is also responsible for coordinating Model Research). Massimo is a Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of City University, London. He holds a PhD in Mathematics and an MSc in Economics. Massimo regularly delivers advanced training on credit modelling, interest rate market models, correlation modelling and model risk. He has led workshops on financial modelling and the credit crunch in the main international finance conferences. His papers have appeared in Risk Magazine, Mathematical Finance, the Journal of Derivatives and the Journal of Applied Mathematical Finance. Marco Bianchetti is Senior Quantitative Analyst in the Market Risk Management, Pricing and Financial Modelling area of Banca Intesa San Paolo, Italy. His recent work focuses on model validation, model risk monitoring and on the pricing and risk analysis of interest rate and inflation derivatives. Previously he worked for six years in the front-office financial engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for fixed income trading desks. He holds an MSc and a PhD in theoretical physics from the University of Milan.


Part I: Interest Rate Markets Across the Crunch 1: Evolution of the Markets after the Credit Crunch Marco Bianchetti and Mattia Carlicchi Banca Intesa Sanpaolo 2: Solving the Puzzle in the Interest Rate Market Massimo Morini Banca IMI, Milan Part II: Modern Pricing of Interest Rate Derivatives 3: Modern Pricing of Interest Rate Derivatives including Funding and Collateral Marco Bianchetti Banca Intesa Sanpaolo 4: Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Discount and FRA Rates Estimation Ferdinando M. Ametrano; Marco Bianchetti Banca IMI; Banca Intesa Sanpaolo 5: Irony in Derivative Discounting: After the Crisis Marc Henrard OpenGamma 6: Interest Rate Modelling under Full Collateralisation Masaaki Fujii and Akihiko Takahashi Graduate School of Economics, The University of Tokyo 7: Building Curves on a Good Basis Messaoud Chibane, Japrakash Selvaraj; Guy Sheldon Shinsei Bank Limited; ANZ Banking Corporation Part III: New Interest Rate Models 8: Libor Market Models with Stochastic Basis Fabio Mercurio Bloomberg LP 9: Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis Ahsan Amin Infiniti Derivatives 10: Parsimonious Multi-Curve HJM Modelling with Stochastic Volatility Nicola Moreni, Andrea Pallavicini Banca IMI 11: Multi-Curve Low Dimensional Markovian Models in a HJM Framework Manuel Torrealba Palacios Nordea 12: Short Rate Models with Stochastic Basis and Smile Chris Kenyon Lloyds Banking Group

Product Details

  • ISBN13: 9781906348939
  • Format: Paperback
  • Number Of Pages: 500
  • ID: 9781906348939
  • ISBN10: 1906348936

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  • Saver Delivery: Yes
  • 1st Class Delivery: Yes
  • Courier Delivery: Yes
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