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Interest Rate Models — Theory and Practice

Author

Listed:
  • Damiano Brigo

    (Banca IMI
    Bocconi University)

  • Fabio Mercurio

    (Banca IMI)

Abstract

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Suggested Citation

  • Damiano Brigo & Fabio Mercurio, 2006. "Interest Rate Models — Theory and Practice," Springer Finance, Springer, edition 0, number 978-3-540-34604-3, December.
    • Handle: RePEc:spr:sprfln:978-3-540-34604-3
    DOI: 10.1007/978-3-540-34604-3
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    Cited by:

    1. Vrins, Frédéric, 2025. "On the distribution of the integral of a function with respect to a Brownian Bridge," LIDAM Discussion Papers LFIN 2025001, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Chen, Shukai & Fang, Rongjuan & Ji, Lina & Wang, Jian, 2026. "Exponential ergodicity of CBIRE-processes with competition and catastrophes," Stochastic Processes and their Applications, Elsevier, vol. 192(C).
    3. Stefano Scoleri & Marco Bianchetti & Sergei Kucherenko, 2026. "Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks," Papers 2602.14354, arXiv.org.
    4. Abi Jaber, Eduardo & Hainaut, Donatien & Motte, Edouard, 2025. "The Volterra Stein-Stein model with stochastic interest rates," LIDAM Discussion Papers ISBA 2025003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Vrins, Frédéric, 2026. "Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part," European Journal of Operational Research, Elsevier, vol. 329(1), pages 180-197.
    6. Hainaut, Donatien, 2026. "American option pricing with model constrained Gaussian process regressions," Applied Mathematics and Computation, Elsevier, vol. 512(C).
    7. Hainaut, Donatien, 2024. "American option pricing with model constrained Gaussian process regressions," LIDAM Discussion Papers ISBA 2024023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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