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
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.
The best book I have read on the subject.......2002-05-06
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject.
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
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.
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
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.
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
In my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book.
Book Description
How should governments and central banks use monetary policy to create a healthy economy? Traditionally, policymakers have used such strategies as controlling the growth of the money supply or pegging the exchange rate to a stable currency. In recent years a promising new approach has emerged: publicly announcing and pursuing specific targets for the rate of inflation. This book is the first in-depth study of inflation targeting. Combining penetrating theoretical analysis with detailed empirical studies of countries where inflation targeting has been adopted, the authors show that the strategy has clear advantages over traditional policies. They argue that the U.S. Federal Reserve and the European Central Bank should adopt this strategy, and they make specific proposals for doing so.
The book begins by explaining the unique features and advantages of inflation targeting. The authors argue that the simplicity and openness of inflation targeting make it far easier for the public to understand the intent and effects of monetary policy. This strategy also increases policymakers' accountability for inflation performance and can accommodate flexible, even "discretionary," monetary policy actions without sacrificing central banks' credibility. The authors examine how well variants of this approach have worked in nine countries: Germany and Switzerland (which employ a money-focused form of inflation targeting), New Zealand, Canada, the United Kingdom, Sweden, Israel, Spain, and Australia. They show that these countries have typically seen lower inflation, lower inflation expectations, and lower nominal interest rates, and have found that one-time shocks to the price level have less of a "pass-through" effect on inflation. These effects, in turn, are improving the climate for economic growth. The authors warn, however, that the success of inflation targeting depends on operational details, such as how the targets are defined and when they are announced. They also show that inflation targeting is not a panacea that can make inflation perfectly predictable or reduce it without economic costs.
Clear, balanced, and authoritative, Inflation Targeting is a groundbreaking study that will have a major impact on the debate over the right monetary strategy for the coming decades. As a unique comparative study of what central banks actually do in different countries around the world, this book will also be invaluable to anyone interested in how economic policy is made.
Customer Reviews:
Excellent book.......2007-09-17
Inflation Targeting is a kind of monetary policy first exercised in New Zealand, in practice, and afterwards brought to the academy research. This book analyses the way that this and many other countries dealed with the new approach of conducting monetary policy towards inflation control, bringing a full and comprehensive description of the behaving of their economies as well as their main macroeconomic variables, before, during and after the targets have been set. It is extremely well written, making its reading very pleasant, and provides the reader a full description of the inflation targeting implementation.
fair.......2006-03-31
This book is designed essentially all audiences, i.e., it could an easy read for undergraduate economic students. The book, while somewhat repetitive, is a good 'read' especially as one of the authors is now the Chairman of the Federal Reserve who advocates inflation targeting.
The prior reviewer was unhappy that developing countries' central bank experiences were not included in the book. I am afraid that would have made for an unweildy book given that the focus is on credible inflation targeting regimes with a 'track record' - not countries who are in need of such a regime. Such a discussion can be found in other books. It is not a coincidence that the authors focused on developed countries - that is their interest and specialty.
The focus is not on policy prescriptions per se but what has and has not been effective. This is not an IMF prescription manual for a developing country. The countries studied underwent shocks but their relative stability leads to a more certain analysis.
Yawn.......2000-01-13
I have never been a fan of condensed books for the obvious reason that they leave out content and motivation. This book, however, could be shrunk by 3/4 without any real loss. Yes, there is much in-depth case study information here, but the paper could have been much better used by substituting much of it for some harder, theoretical motivation and analytical discussions. The authors are capable of this. Also, despite the painstaking redundent detail and a few regressions, for me the authors fail to place inflation targeting and inflation targeting countries into the greater context of inflationary policies and countries facing inflation. It surprises me that there is no mention of some of the, especially developing countries, where inflation has been a serious problem and where most battles of the future are likely to be fought.
Heavy on the case studies and mildly repetitive........1999-09-21
An easy to read book for people of all levels. It takes the reader through case studies on the various countries which have introduced inflation targeting. This is interesting from a historical perspective, but since inflation targeting really is a very simple concept (announce an inflation target, describe why you aim to hit this target, make it clear how you shall go about achieving this target and at all times be transparent in your pursuit of that target) the book tends to be repetitive. This book simply goes over too many similar regimes and thus cannot help but cover the same points over again. The last chapter is a study of the U.S. (a rare example of a country with very steady inflation which has not introduced an explicit inflation target) with some recommendations on how (and why) it should implement an inflation target. This book is recommended if you want very indepth case studies on the introduction of inflation targeting in countries as different as Sweden, New Zealand, The U.K. and Australia, but if you only need a quick overview of what inflation targeting is then buy a good general Economics textbook and read the section on it.
Average customer rating:
- How your money is going to be inflated
- I have read this book again and again for ten years.
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An Analysis and History of Inflation
Don Paarlberg
Manufacturer: Praeger Publishers
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Culture and Inflation in Weimar Germany (Weimar and Now: German Cultural Criticism)
ASIN: 0275944166 |
Book Description
This history and analysis examines fifteen great inflations--from Ancient Rome to the French Revolution to post-World War I Germany to modern-day Brazil--to provide an understanding of the causes of inflation. A unique feature of the book is the evidence presented that a moderate degree of inflation is usually accompanied by increased economic activity. Contrary to the views of many, moderate inflation appears to be welcomed by most people and assists in returning incumbent political leaders to power. In addition, the money illusion, the belief that money has constant value over time, is shown by the author to be grievously in error. Presenting views which are at odds with much of mainstream economics, Paarlberg concludes that inflation is caused by an excess of money, and since the creation of money is a government monopoly,governments are responsible for inflation. Additionally, various macroeconomic theories are unable to account for gyrations of production and prices. The best explanation for these matters, therefore, is to be found in institutional economics, which takes into regard whatever forces exist rather than focusing on a select few while purporting to hold others constant. This thoughtful work will be of interest to scholars, students, and laypersons in economics and economic history.
Customer Reviews:
How your money is going to be inflated.......2007-08-06
This is a great book! I been looking for a book that would give me insight on how inflation is started and how it ends, as well as arguments for and against the gold standard, etc. I've read bits and pieces of this book's wisdow in a number of other books and articles, but this pulls it all together. From this book I got true insights on why inflation is basically unavoidable in any country: given time something is going to happen (usually war) or someone is going to come along to convince a population's leaders to debase the money supply - no matter what money standard you are on. Rome had a type of gold standard, the US had a gold standard, etc. People make the standard, people can change the standard.
I know this sounds overly simple, but inflation is too much money pursuing too few goods/services. And the early effects of inflation are the forbidden fruit that few politicians can bear. (Note: Makes you wonder why the Fed did away with the M3 measure for the money supply.) If you want to understand inflation, I can think of no better way than to review 15 examples. Thanks Paarlberg!
I have read this book again and again for ten years........2004-01-22
Allow me to pay respect and compliment to Mr. Don Paarlberg here. Mr. Don Paarlberg has an insightful understanding of human nature and their behavior that his examination and explanations of inflation history grab my intention very time I read this book. They make a lot of senses and transform my knowledge of economics into a penetrating understanding of human behavior and reactions to certain events. Mr. Don Paarlberg elevates my perspective toward macro-economics to a higher level, that of a human behavioral one, and certainly broadens my eyesight with regard to how human nature and human behavior did not change over the past two thousand years or so in terms of what people would do in reaction to price drivers. Lastly, I appreciate Mr. Don Paarlberg's exquisite, precise, and concise way of writing, something much less seen nowadays. Thank you, Mr. Don Paarlberg.
Book Description
Many students find introductory economics interesting but difficult, so they will really appreciate this study tool designed to make the core material easier to understand. A summary and list of key terms begins each chapter, providing readers with a "map" and hundreds of problems with detailed solutions illustrate and amplify key points. A chapter devoted to drafting and interpreting graphs helps students gain a facility with this material essential for mastering.
Customer Reviews:
.... just OK.......2006-03-13
I purchased a few books in preparation for the macro/micro econ CLEP tests. Among these books is the Schaums Principles of Economics book. From my experience, the book is not very thorough. Perhaps it will help you understand economics -- and for some people, I am sure it is a sufficient study aid -- but there are definitely better Econ books out there. The book that I am reading right now is Barron's Economics, which I find to be much more detailed. A significant difference between the two books is that the Barron's version is ~580 pages long (about 200 pages longer than the Schaums), but these pages are full of additional material that is not found in Schaums (in other words, it is not a waste of paper). Although both books seem to cover roughly the same material, I have noticed that the Barron's book includes some interesting chapters (such as Game Theory) that are not even mentioned in the Schaum's book.
One more thing that I find important is that the Barron's book has smaller dimensions than the Schaums book and is therefore much more manageable (and enjoyable to read).
Luckily, the used prices for this book are pretty low, so you can always do what I did and just buy both of the books! If you are interested in more books that are introductory material to economics, the following books have sparked my interest in the field:
The Elusive Quest for Growth (the troubles we have encountered in trying to develop struggling nations)
Economics in One Lesson (a succintly written book that covers basic economic fallacies)
Globalization and its Discontents (Yes, it is about Globalization... written by Stiglitz of the World Bank)
Hope this helps :)
Not up to Schaum's standards.......2006-02-02
This book is *ok*, but it is not as good as the other Schaum's books that I own (I own nearly 20 of them). I recomment this book ONLY if you are studying high school economics. If you are in college (or taking AP Economics or studying for CLEP), get the Microeconomics and Macroeconomics versions of this guide.
Disappointing.......2003-02-22
I used Schaum's Oulines to study for my accounting CLEP test, preparing for my MBA program. The Financial and Managerial Accounting titles were excellent. I have also used them to supplement my MBA texts in Operations Management and Financial Management. Overall, the series is lucid and easy to follow. I was expecting this title to follow suit.
Unfortunately, it did not.
The exposition is shoddy at best. Though I could solve the problems as they were given, I found myself struggling to understand economics. Since I was studying to CLEP test out of my prerequisite Micro and Macro Econ, I was concerned. After a few weeks, I purchased Harper Collins' College Outlines' Intro to Economics, and was pleasantly surprised to find that I could understand economics.
Buisiness Study Beginner from Korea.......2000-04-09
I am an old beginner in Economics. I just wanted to study to prepare my CMA certificate. Schaum's series are very popular in Korea, and maybe in the United States also for their selected many problems. That's why I chose this book for my preparation in Economics exam. Economics is very broad and practical studies. This book is written in 1995, 5 years ago from now. Someone feels it is too old to study. But I don't think so, because how much change in 5 years in Economics. The economy of a society is changing a lot in 5 years evidently but the Economics cannot be changed a lot in 5 years even in these E-days! I graduated from school longtime ago, and sometimes I was stupid in my school days because I just studied the text only without so many problems. I am now sure that the problem-driven study is the best way to conquer the complex theory. Good luck to you, and hope to find this book to help your understanding the Economics theory and extend to your real life.
Book Description
A survey of the new theories of inflation that have developed over the past two decades in response to the inflationary pressures experienced by Western countries examines the shifting debate from explaining inflation as a "causal" process to explaining its increase as a result of constantly changing expectations.
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The Theory of Monetary Aggregation (Contributions to Economic Analysis)
Manufacturer: North Holland
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ASIN: 0444501193 |
Book Description
In recent years, there has been renewed interest in index number and aggregation theory, since the two previously divergent fields have been successfully unified. The underlying aggregator functions which are weakly separable subfunctions of utility and production functions, are the building blocks of economic theory, and the derivation of index numbers based upon their ability to track those building blocks is now called the "economic theory of index numbers."
William Barnett, the coeditor of this volume, introduced modern economic index number theory into monetary economics. His merger of economic index number theory, with monetary theory was based upon the use of Diewert's approach to producing "superlative" nonparametric approximations to the theoretically exact aggregator functions. This book comprises a focussed and unified collection of Barnett's most important publications in this area.
The papers in the book have been organized into logical sections, with unifying introductions and overviews. The result is a systematic development of the state of the art in monetary and financial aggregation theory. The sections cover the origin of the user cost price of monetary services. Exact aggregation of monetary assets on the demand side for consumers and firms, and on the supply side for financial intermediaries, general equilibrium of all economic agents' demands and supplies, dynamic solution of the exact system, and extension to monetary aggregation under risk. The extension of index number theory to the case of risk is completely general, and can be applied to tracking any exact economic aggregator under risk. In all cases, the criterion used for evaluation is the tracking ability of the approximation to the exact aggregator function of economic theory.
Many of the empirical and policy puzzles in monetary economics disappear when simple sum monetary aggregates are replaced by index numbers that are coherent with theory. Simple sum monetary aggregates became incoherent with theory, when monetary assets began paying interest and therefore could no longer be viewed as perfect substitutes.
This is a useful tool to those associated with economics departments within universities, business schools, central banks and federal governments, financial institutions including underwriters, bankers and stockbrokers.
Customer Reviews:
A collected work of a great ecocnomist.......2001-02-02
This book collects most of the important papers written by Armen Alchian, who has made great contribution on the development of new institutional economics.
The topics of his works starts from analysis of uncertainty and information costs. One of his famous contribution ,the implications of shirking in team production is the main heading in the book. Other topics including inflation and cost defintion are included.
In my opinion,the most impressive work to me is the paper which clarify the definition of cost. It is only Armen Alchian who is willing and has clear concept to write on such important concept but so many people has wrong understanding in what they believe as simple concept.
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The Income Tax: A Study of the History, Theory and Practice of Income Taxation at Home and Abroad
Edwin Robert Anderson Seligman
Manufacturer: Adamant Media Corporation
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Essays in Taxation
ASIN: 1402195605
Release Date: 2001-08-17 |
Product Description
This Elibron Classics book is a facsimile reprint of a 1911 edition by the Macmillan Company, New York.
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Macroeconomic Theory: A Textbook on Macroeconomic Knowledge and Analysis : Inflation, Employment and Business Fluctuations (ADVANCED TEXTBOOKS IN ECONOMICS)
E Malinvaud
Manufacturer: North Holland
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Binding: Hardcover
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ASIN: 0444505180 |
Book Description
Hardbound.
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Inflation and Quantum Cosmology
A. D. Linde
Manufacturer: Academic Pr
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ASIN: 0124501451 |
Books:
- International Petroleum Fiscal Systems and Production Sharing Contracts
- Introduction to the Mathematical and Statistical Foundations of Econometrics (Themes in Modern Econometrics)
- Introduction to the Mathematics of Financial Derivatives
- Introductory Econometrics: A Modern Approach (with Economic Applications Online, Econometrics Data Sets with Solutions Manual Web Site Printed Access Card)
- Law, Legislation and Liberty, Volume 2: The Mirage of Social Justice
- Letter to a Christian Nation
- Linear Programming, Second Edition - Foundations and Extensions (International Series in Operations Research and Management Science, Volume 37) (International ... in Operations Research & Management Science)
- Making a New Deal: Industrial Workers in Chicago, 1919-1939
- Nonlinear Regression (Wiley Series in Probability and Statistics)
- Numerical Methods in Economics
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