Interest Rate Derivatives: A Practical Guide

Interest Rate Markets: A Practical Approach to Fixed Income  eBooks & eLearning

Posted by tarantoga at March 17, 2016
Interest Rate Markets: A Practical Approach to Fixed Income

Siddhartha Jha, "Interest Rate Markets: A Practical Approach to Fixed Income"
ISBN: 0470932201 | 2011 | EPUB | 368 pages | 2 MB

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (repost)  eBooks & eLearning

Posted by interes at March 7, 2016
Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (repost)

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach by Markus Bouziane
English | 2008 | pages: 206 | ISBN: 3540770658 | PDF | 3,3 mb
Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives: A Practitioner's Handbook (Volume 2)

Accounting for Investments, Fixed Income Securities and Interest Rate Derivatives: A Practitioner's Handbook (Volume 2), 2 edition by R. Venkata Subramani
English | 2011 | ISBN: 047082591X | 576 pages | EPUB | 76 MB
Interest Rate Markets: A Practical Approach to Fixed Income (repost)

Interest Rate Markets: A Practical Approach to Fixed Income by Siddhartha Jha
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.
Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Repost)

Markus Bouziane, "Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach"
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.
Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Repost)

Markus Bouziane, "Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach"
2008 | pages: 206 | ISBN: 3540770658 | PDF | 3,1 mb
Interest Rate Markets: A Practical Approach to Fixed Income (Repost)

Siddhartha Jha, "Interest Rate Markets: A Practical Approach to Fixed Income"
English | 2011 | ISBN: 0470932201 | 346 pages | PDF | 4 MB

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Repost)  eBooks & eLearning

Posted by Grev27 at Nov. 9, 2012
Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Repost)

Markus Bouziane, "Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach"
English | ISBN: 3540770658 | 2008 | PDF | 215 pages | 3,2 mb
Interest Rate Markets: A Practical Approach to Fixed Income

Siddhartha Jha, "Interest Rate Markets: A Practical Approach to Fixed Income"
W ey | 2011 | ISBN: 0470932201 | 346 pages | PDF | 4,2 MB

PDE Valuation of Interest Rate Derivatives  

Posted by leonardo78 at Feb. 1, 2016
PDE Valuation of Interest Rate Derivatives

PDE Valuation of Interest Rate Derivatives by Peter Kohl-Landgraf
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.