Modelling interest rates: advances in derivatives pricing / edited by Fabio Mercurio.

Includes bibliographical references and index.

PART I MULTI-CURVE MODELLING 1 Bootstrapping the Illiquidity Ferdinando M. Ametrano; Marco Bianchetti Banca IMI; Banca IntesaSanpaolo 2 Yield Spread Options under the DLG Model Masaaki Kijima, Keiichi Tanaka; Tony Wong Tokyo Metropolitan University; Mizuho Securities Co Ltd PART II NEW ADVANCES ON LIBOR MARKET MODELS 3 Nonparametric Calibration of Forward Rate Models Dariusz Gatarek National Bank of Poland and Systems Research Institute PAS 4 On the Calibration of the Market Model with a Square-Root Volatility Process Lixin Wu The Hong Kong University of Science and Technology 5 No-Arbitrage Dynamics and Formulas for a Tractable SABR Term-Structure Model Fabio Mercurio; Massimo Morini Bloomberg; Banca IMI 6 The Longstaff-Schwartz Algorithm and Effective Model Dimensionality Phil Hunt; Joanne Kennedy Citigroup; University of Warwick PART III HEDGING ISSUES 7 Dynamics Misspecification in Local-Stochastic Volatility Models Giuseppe Di Graziano; Stefano Galluccio Deutsche Bank; BNP Paribas 8 A Note on Hedging with Local and Stochastic Volatility Models Fabio Mercurio; Massimo Morini Bloomberg; Banca IMI PART IV THE PRICING OF SPECIFIC CONTRACTS 9 Libor Volatility Derivatives Nicolas Merener Universidad Torcuato Di Tella 10 Smile-Consistent CMS Adjustments in Closed Form Antonio Castagna, Fabio Mercurio and Marco Tarenghi Banca IMI 11 Cap Pricing in Term-Structure Models with Stochastic Volatility Ali Hirsa, Li Bao; Dilip B. Madan Caspian Capital Management, LLC; University of Maryland.

"Modelling Interest Rates" is an aid to researchers who aim to get acquainted with the new trends in the interest rate models and to practitioners with a need to use increasingly sophisticated tools to price exotic claims consistently with the information on the underlying variables that is provided by the market in terms of plain vanilla quotes. It also examines Interest rate modellers; Risk managers; Risk modellers; Interest rate analysts; Derivatives traders; and, Pricing managers.

lje 11/9/13

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