Interest Rate Models Brigo

Interest Rate Models - Theory and Practice (Repost)  

Posted by step778 at Aug. 12, 2013
Interest Rate Models - Theory and Practice (Repost)

Damiano Brigo, Fabio Mercurio, "Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit"
2006 | pages: 1014 | ISBN: 3540221492 | PDF | 6,9 mb

Interest Rate Models (Repost)  

Posted by Specialselection at Feb. 23, 2012
Interest Rate Models (Repost)

"Interest Rate Models"
Damiano Brigo, Fabio Mercurio

English | 2001-08-09 | ISBN: 3540417729 | 557 pages | DJVU | 5.1 mb

Interest Rate Models: An Introduction  eBooks & eLearning

Posted by MrLAG at Feb. 7, 2011
Interest Rate Models: An Introduction

Andrew J. G. Cairns, "Interest Rate Models: An Introduction"
Princeton University Press | January 5, 2004 | English | ISBN: 0691118949 | 288 pages | PDF | 42 Mb

The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the tools required for the arbitrage-free modelling of the dynamics of these markets. Andrew Cairns addresses not only seminal works but also modern developments. Refreshingly broad in scope, covering numerical methods, credit risk, and descriptive models, and with an approachable sequence of opening chapters, Interest Rate Models will make readers–be they graduate students, academics, or practitioners–confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models.
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Repost)

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Springer | 2001-05-11 | ISBN: 3540414932 | 134 pages | DjVu | 1,2 MB

Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.
Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds (repost)

Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds by Arjan Bastiaan Berkelaar, Joachim Coche and Ken Nyholm
English | January 5, 2010 | ISBN: 0230240127 | 538 pages | PDF | 6 MB
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (repost)

René A. Carmona, Michael R. Tehranchi, "Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective"
Sp,,,er | 2006 | ISBN: 3540270655 | 235 pages | PDF | 3 MB
Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds (repost)

Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds by Arjan Bastiaan Berkelaar, Joachim Coche and Ken Nyholm
English | 1st Edition. (January 5, 2010) | ISBN: 0230240127 | 538 pages | PDF | 6 MB

Interest Rate Models: An Introduction (Repost)  

Posted by elodar at Dec. 29, 2013
Interest Rate Models: An Introduction (Repost)

Andrew J. G. Cairns, "Interest Rate Models: An Introduction"
English | 2004-01-05 | ISBN: 0691118949 | 288 pages | PDF | 54 mb
Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds (repost)

Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds by Arjan Bastiaan Berkelaar, Joachim Coche and Ken Nyholm
English | 1st Edition. (January 5, 2010) | ISBN: 0230240127 | 538 pages | PDF | 6 MB

This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

Interest Rate Models: An Introduction (Repost)  

Posted by roxul at May 23, 2012
Interest Rate Models: An Introduction (Repost)

Andrew J. G. Cairns, "Interest Rate Models: An Introduction"
English | ISBN: 0691118949 | 2004 | 288 pages | PDF | 54 MB