Posted by **tarantoga** at March 17, 2016

ISBN: 0470932201 | 2011 | EPUB | 368 pages | 2 MB

Posted by **interes** at March 7, 2016

English | 2008 | pages: 206 | ISBN: 3540770658 | PDF | 3,3 mb

Posted by **interes** at May 4, 2015

English | 2011 | ISBN: 047082591X | 576 pages | EPUB | 76 MB

Posted by **interes** at May 19, 2014

English | 2011 | ISBN: 0470932201 | 346 pages | PDF | 4,2 MB

With trades worth trillions of dollars annually, the U.S. interest rate markets are some of the largest and most important markets in the world. These markets attract a wide variety of participants, from individuals and corporations to governments, and offer numerous financial instruments that include bonds, swaps, futures, and options.

Posted by **zolao** at Aug. 8, 2013

2008 | pages: 206 | ISBN: 3540770658 | PDF | 3,1 mb

This book provides a modular pricing framework which allows the valuation of interest-rate derivatives in a general jump-diffusion setup. Starting with a comparison of three Fourier-style pricing methodologies, the book covers the derivation of Fourier-transform based solutions for different interest-rate derivatives by using contour integration principles, the development of a IFFT-based pricing algorithm, and a detailed analysis of different jump-diffusion short-rate models.

Posted by **step778** at July 11, 2013

2008 | pages: 206 | ISBN: 3540770658 | PDF | 3,1 mb

Posted by **nebulae** at April 29, 2013

English | 2011 | ISBN: 0470932201 | 346 pages | PDF | 4 MB

Posted by **Grev27** at Nov. 9, 2012

English | ISBN: 3540770658 | 2008 | PDF | 215 pages | 3,2 mb

Posted by **tot167** at June 30, 2011

W ey | 2011 | ISBN: 0470932201 | 346 pages | PDF | 4,2 MB

Posted by **leonardo78** at Feb. 1, 2016

Publisher: Books On Demand | 2007 | ISBN: 3833495375 | 222 pages | DJVU (scan) | 1,9 MB

The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling. However, due to the ever increasing complexity of interest rate products, the high dimensionality of this approach starts to reach its limits from the computational side. This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that disadvantage as they enable a low-dimensional deterministic and fast PDE valuation.