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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
Damiano Brigo , and Fabio Mercurio Manufacturer: Springer ProductGroup: Book Binding: Hardcover Similar Items:
Accessories:
ASIN: 3540221492 |
Book 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 several new chapters. 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 new chapters. 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.
Customer Reviews:
Best book on interest rate models.......2002-12-14
The best book I have read on the subject.......2002-05-06
Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.
I would just say that this is certainly a must have in the field.
New stuff and nice overview: hard to beat!.......2002-01-17
I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.
Sure enough I'm not disappointed.
1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.
The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!
The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.
Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.
The detailed explanation on products is a much welcome original addition. Cross currency derivatives!
Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.
Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.
This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.
Nicely written overview of interest rate models.......2001-12-15
The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).
In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".
Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.
This book can also be used for a graduate level/PhD course on interest rate models.
There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.
Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.
Well written and useful book.......2001-11-04
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The Treasures of the Monastery of Saint Catherine (I Tesori del Monastero di Santa Caterina) (Journeys Through the World and Nature)
Corinna Rossi Manufacturer: White Star ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 8854401420 Release Date: 2006-09-12 |
Book Description
Dating back to 324 AD, when a community of monks requested a chapel to be built on the spot where they believed the Burning Bush had stood, the monastery of St. Catherine has remained an oasis of peace for centuries. Today, it is a place of international pilgrimage, housing the most extensive collection of Greek Orthodox icons in the world. Granted unprecedented access to this holy site, photographer Araldo De Luca and author Corinna Rossi take readers inside the walls of this sacred place, revealing its peerless artistic, historical, and religious legacy through superb photographs and an authoritative text that incorporates the most recent research and discoveries. Presented in a handsome slipcase and featuring a preface by Archbishop Damianos of Sinai, the archbishop of the Greek Orthodox Church, this is a book to be cherished by art lovers and anyone interested in our historical and religious heritage.Customer Reviews:
Great Photos, Italian Text.......2007-09-24
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The Da Fiore Cookbook: Recipes from Venice's Best Restaurant
Damiano Martin Manufacturer: William Morrow Cookbooks ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0060090715 Release Date: 2003-11-04 |
Amazon.com
Owned by its chef Maria Martin and her husband Maurizio, Da Fiore is a much-lauded Venetian seafood restaurant. Son Damiano Martin's The Da Fiore Cookbook offers almost 100 recipes from the restaurant, from antipasti to desert. Whether "traditional," such as Mediterranean-Style Ceviche or Marinated Striped Bass with Aromatic Herbs, or more original, like Fried Soft-Shell Crabs on Arugula and Orange Salad and Chestnut-Filled Calamari, the simply conceived but deeply flavorful dishes are uniformly exciting. Though the recipes are easy enough to prepare, their success for the home cook will depend largely on ingredient freshnessthere's no hiding place in these dishes for less than the best. Cooks should also be aware that some of the ingredients called for--imperial shrimp, for example--are either unavailable here or, like John Dory Fillets, hard to come by. (In some, but not all cases, substitutions have been suggested.)Apart from "entrees," the book offers a tempting array of soups, pastas, and vegetable recipes such as Asparagus and Parmigiano Custard, Penette with Sea Scallops and Broccoli Florets, and Porcini Mushroom and Onion Soup. A small dessert chapter yields delicious finales like Venetian Fried Cream and Sweet Focaccia with Figs, plus an enticing selection of cookie formulas. The author also provides a brief tour of Venice, plus a discussion of its unique "flavors." Also helpful is seafood buying instruction, which includes the insight that smaller fish are more delicate and sweeter tasting than larger specimens. The book is illustrated with color photos. --Arthur Boehm
Book Description
The Wine Spectator calls the family-owned da Fiore the best restaurant in Venice. The New York Times praises chef Mara Martin and her husband, Maurizio, as "the city's most respected restaurateurs," known internationally for their food, regional wine list, and hospitality.In his appreciation, Victor Hazan writes, "Marcella and I raise our glasses to what you have achieved and to what, since you are both so amazingly young still, you may yet accomplish." Now, in The da Fiore Cookbook, their son, Damiano Martin, pays tribute to his parents' vision,sharing their recipes and their passion for Venice.
Da Fiore is renown for its seasonal menus that follow the ebb and flow of the Venetian lagoon and the Aegean and Mediterranean seas along with the orchards and farms of the surrounding Veneto. When the lagoon closes for a few weeks twice a year to allow the fish population to replenish itself, the restaurant takes a rest as well, upholding its high standards of serving local fresh food.
In autumn, da Fiore's visitors are treated to dishes such as Fried Soft-Shell Crabs on Arugula and Orange Salad and hearty Porcini Mushroom and Onion Soup. When scallops are at their richest and meatiest during the winter months, Mara combines them with the natural sweetness of broccoli in Pennette with Sea Scallops and Broccoli Florets. Spring heralds in a host of vegetables, inspiring dishes such as Fusilli with Squid and Peas and Asparagus and Parmigiano Custard.
And in the summer months, Mara serves signature dishes such asRed Mullet Stars with Fresh Figs and Mint and the simple, yet elegantRolled Fillet of Sole with Zucchini. Desserts, too, are seasonal,ranging from the wintry Chestnut Mousse with Persimmon Sauce to a bowl of chilled Fruit Soup, a refreshing summertime treat, and the traditional Sweet Carnival Fritters enjoyed in early spring. There are suggested American substitutions for traditional Venetian ingredientsin all the recipes.
Accompany the Martin family as they throw open wide the doors to the magical city of Venice. Stroll through the markets of Venice with Mara as she shops for the freshest ingredients. Discover the city's rich culinary history and traditions through Damiano's delightful narrative. Explore the outstanding wines of the Veneto with Maurizio's wine-pairing suggestions.
Whether you've been to Venice or intend to travel there some day, The da Fiore Cookbook brings the unique spirit of Venice's Osteria da Fiore to your own kitchen.
Customer Reviews:
Global Top 5.......2005-05-10
Genuine Venetian Cuisine, Worthy of the Hype.......2003-12-24
First, this is genuine Venetian cuisine, not Venetian cuisine interpreted by an American or English writer. The cuisine of the da foiore lives and breaths by the pulse of the Venetian fish markets and the seasons of fishing in the Adriatic. Recipes are also true to the region in focusing on rice and corn meal (polenta), and soft pasta dishes most common in the north, especially those close to the prime rice growing area in Europe. There is also an appropriate mix of Middle Eastern influences harking back to the days when Venice was THE spice merchant of Europe.
Second, the recipes are delightful, with a bright mix of the fish and an accompanying vegetable, changing slightly the Italian pairing of separate secondo and contorno dishes. I concur with the author's contention that these are indeed simple recipes. They may not be easy, but they should take less time than usual to master. Virtually all protein is seafood from the northern Adriatic, `right off the boat'. There is a high concentration of bivalve, cephalopod (squid, cuddlefish, and octopus), shrimp, and finfish recipes. There are few lobster or crab dishes and beef, chicken, and veal are not even listed in the index.
Third, this may be an Italian cuisine which may be most familiar to Americans after the southern Italian tomato drenched cuisine of tomatoes, hard pasta, and pizza. I was never a great fan of Tuscan dishes, but this cuisine backed by the wines of the Veneto, Bardolino, Valpolicella, Soave, and Prosecco is much more attractive to me than the Chianti of Tuscony or the hundreds of newer wines from Italy on the market. Then there is also grappa to make life just a little more interesting.
My most delightful discovery in this book is to find the word, `cicheti' for the Italian counterpart of the Greek and Turkish meze which has become a very popular subject of cookbook authors of late, who make a point of saying that Greek meze is not the same as antipasti. Another interesting discovery is that unlike much of the rest of Italy, Venetians are not horrified at the thought of putting cheese on fish, although they do not do it commonly with the very strong dried cheeses such as parmesan or pecorino romano.
Even though the book is written by a man, the true author of the recipes is the author's mother, true to the great Mediterranean tradition of cuisine being the woman's provence.
If you already have 20 or more Italian cookbooks, then you have to wrestle with your own obsessions to determine if this is worth the investment. At $35 without the celebrity byline, this may be a bit much, but I recommend it none the less, especially if you are a great fan of seafood.
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Francis And the San Damiano Cross: Meditations on Spiritual Transformation
Susan Saint Sing Manufacturer: Saint Anthony Messenger Press ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 0867167351 |
Customer Reviews:
Timeless Symbolism.......2007-01-25
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Damiano'S Return (Harlequin Presents)
Graham Manufacturer: Harlequin ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 0373121636 |
Customer Reviews:
Domiano's Return.......2001-09-18
If you want a story about true love, don't miss this one.
It was absolutely perfect.
EXCELLENT! EXCELLENT! FABULOUS READ!.......2001-03-31
simply the best!!!!.......2001-03-14
Pretty Good book.......2001-02-19
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Infrared Landscape Photography
Todd Damiano Manufacturer: Amherst Media ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 0936262826 |
Book Description
Focusing on the techniques needed specifically for the use of infrared to shoot landscapes, this book walks the reader through everything form finding the best locations to how to select the best equipment. More than 50 compelling images are analyzed and used to illustrate tips and techniques.Customer Reviews:
No redeeming qualities.......2006-05-03
a little disappointing.......2000-03-13
Nice pictures, but..........1999-12-28
A must have photograghy resource. Brilliantly done!.......1999-04-04
exceptional work, informative, fantastic resource.......1999-03-24
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A Course in Linear Algebra
David Damiano , and John Little Manufacturer: Harcourt College Pub ProductGroup: Book Binding: Hardcover ASIN: 0155151347 |
Customer Reviews:
Amazing.......2004-04-07
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DAMIANO (Damiano Trilogy)
R.A. Macavoy Manufacturer: Bantam ProductGroup: Book Binding: Mass Market Paperback Similar Items: ASIN: 0553253476 Release Date: 1984-04-01 |
Customer Reviews:
It has left an impression on me for a decade and more.......2001-11-14
A great trilogy by a writer who does not get enough credit.......2000-09-24
Unique and Memorable Fantasy Trilogy.......2000-08-14
MacAvoy has a way of bringing me into every scene, using precise language and memorable detail:
"His mind was flooded with the memory of this very pasture in the green of summer, when his father would treat the sheep with tar poultices and incantation. Grass up to his half-grown knees, except where the flocks had cropped it. It had been cool then, in the mountains, but pleasant. Sheep's milk. Napping at midday, surrounded by curious, odorous, half-grown lambs."
I wish MacAvoy hadn't killed off my favorite characters, one by one, but it is a tribute to the power of her writing that I kept reading, anyway. I was hooked. I had to know how her trilogy ended.
If history is fair to fantasy authors, Damanio and his lute and his little, talking dog will outlast all of the overblown 'ologies' of Brooks, Goodkind, and Stephen King.
And not only that but you'll need a hankie.......2000-01-26
And not only that but you'll need a hankie.......2000-01-26
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101 Poems of a Madman
Joseph Walther Damiano Manufacturer: PublishAmerica ProductGroup: Book Binding: Paperback ASIN: 1413739210 |
Book Description
101 Poems of a Madman expresses my deep anguish while mentally ill. I wandered the roads of America for three years before I was arrested in October of 1992. These poems tell the story of my wanderings and experiences as an involuntary patient at a state hospital. Many of the poems convey my thoughts on a higher power as well as what his/her/its world would be like. Other poems are about a woman I met at the very beginning of my madness. As fate will have it, I will never forget her. Finally, although you might not be able to tell it from this book, Jesus is the final answer.
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2020: A Season to Die
Jim Damiano Manufacturer: 1st World Library ProductGroup: Book Binding: Paperback ASIN: 0976582120 |
Book Description
A future Civil War novel.Customer Reviews:
An Exciting Read from Start to Finish !!!!!.......2005-10-07
2020: A season to Die.......2005-09-15
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