布里谷编著的《利率模型理论和实践（第2版）》是一部详细讲述利率模型的书，旨在将该领域的理论和实践联系起来，在第一版的基础上增加了许多新特征。有关LIBOR市场模型中的“Smile”部分得到了极大的丰富，已有内容扩充为几个新的章节。书中增加了瞬时相关矩阵的历史估计，局部波动动力学和随机波动模型，全面讲述了最新发展较快的不确定波动率方法。跟膨胀有关的衍生品定价讲述的较为详细。

读者对象：数学专业研究生、老师和经济、金融的相关人员。

Preface

Motivation

Aims, Readership and Book Structure

Final Word and Acknowledgments

Description of Contents by Chapter

Abbreviations and Notation

Part I.BASIC DEFINITIONS AND NO ARBITRAGE

1.Definitions and Notation

2.No-Arbitrage Pricing and Numeraire Change

Part II.FROM SHORT RATE MODELS TO HJM

3.One-factor short-rate models

4.Two-Factor Short-Rate Models

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

Part III.MARKET MODELS

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

7.Cases of Calibration of the LIBOR Market Model

8.Monte Carlo Tests for LFM Analytical Approximations

Part Ⅳ.THE VOLATILITY SMILF

9.Including the Smile in the LFM

10.Local-Volatility Models

11.Stochasti-Volatility Models

12.Uncertain-Parameter Models

Part Ⅴ.EXAMPLES OF MARKET PAYOFFS

13.Pricing Derivatives on a Single Interest-Rate Curve

14.Pricing Derivatives on Two Interest-Rate Curves

Part Ⅵ.INFLATION

15.Pricing of Inflation-Indexed Derivatives

16.Inflation Indexed Swaps

17.Inflation-Indexed Caplets/Floorlets

18.Calibration to market data

19.Introducing Stochastic Volatility

20.Pricing Hybrids with an Inflation Component

Part Ⅶ.CREDIT

21.Introduction and Pricing under Counterparty Risk

22.Intensity Models

23.CDS Options Market Models

Part Ⅷ.APPENDICES

A.Other Interest-Rate Models

B.Pricing Equity Derivatives under Stochastic Rates

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

D.A Useful Calculation

E.A Second Useful Calculation

F.Approximating Diffusions with Trees

G.Trivia and Frequently Asked Questions

H.Talking to the Traders

References

Index