一本很全面的Interest Rate Models的好书。有1000页

1. Definitions and Notation . . .. . . . 1

2. No-Arbitrage Pricing and Numeraire Change . . . . .  . . 23

3. One-factor short-rate models . . . . . . . . . 51

4. Two-Factor Short-Rate Models . . . . . 137

5. The Heath-Jarrow-Morton (HJM) Framework . . . . . . . . . . . . 183

6. The LIBOR and Swap Market Models (LFM and LSM) . . 195

7. Cases of Calibration of the LIBOR Market Model . . . . . . . . 313

8. Monte Carlo Tests for LFM Analytical Approximations. . . 377

9. Including the Smile in the LFM . . . .. . . 447

10. Local-Volatility Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 453

11. Stochastic-Volatility Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 495

12.1 The Shifted-Lognormal Model with Uncertain Parameters

13. Pricing Derivatives on a Single Interest-Rate Curve . . . . . . 547

14. Pricing Derivatives on Two Interest-Rate Curves . . . . . . . . . 607

15. Pricing of In.ation-Indexed Derivatives . . . . . . . . . . . . . . . . . . . 643

16. In.ation-Indexed Swaps . . . . .. . . . 649

17. In.ation-Indexed Caplets/Floorlets . . . . . . . . . . . . . . . . . . . . . . . 661

18. Calibration to market data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 669

19. Introducing Stochastic Volatility . . . . . . . . . . . . . . . . . . . . . . . . . . 673

20. Pricing Hybrids with an In.ation Component . . . . . . . . . . . . 689

21. Introduction and Pricing under Counterparty Risk . . . . . . . 695

22. Intensity Models . . . . . . . . . . . 757

23. CDS Options Market Models . . . .  . . 841

APPENDICES

A. Other Interest-Rate Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 877

B. Pricing Equity Derivatives under Stochastic Rates . . . . . . . . 883

C. A Crash Intro to Stochastic Differential Equations and Poisson Processes .  . . . 897

D. A Useful Calculation . . .  . . . 919

E. A Second Useful Calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 921

F. Approximating Di.usions with Trees . . . . . . . . . . . . . . . . . . . . . 925

G. Trivia and Frequently Asked Questions . . . . . . . . . . . . . . . . . . . 931

H. Talking to the Traders . .. . . 935

References . . . .  . . . . 951

Index . . . . . . . 967