Modern Pricing of Interest Rate Derivatives

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato
English | Nov 24, 2002 | ISBN: 0691089736 | 488 Pages | PDF | 81 MB

PDE Valuation of Interest Rate Derivatives  eBooks & eLearning

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.

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
Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (repost)

Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis (Lecture Notes in Economics and Mathematical Systems) by Ingo Beyna
English | 2013-03-08 | ISBN: 3642349242 | PDF | 220 pages | 3 MB

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

Posted by zolao at Aug. 8, 2013
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)  eBooks & eLearning

Posted by step778 at July 11, 2013
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

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 Derivatives: Valuation, Calibration and Sensitivity Analysis [Repost]  eBooks & eLearning

Posted by ChrisRedfield at Aug. 19, 2013
Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis [Repost]

Ingo Beyna - Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis
Published: 2013-03-08 | ISBN: 3642349242 | PDF | 220 pages | 3 MB

Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis [Repost]  eBooks & eLearning

Posted by ChrisRedfield at July 24, 2013
Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis [Repost]

Ingo Beyna - Interest Rate Derivatives: Valuation, Calibration and Sensitivity Analysis
Published: 2013-02-20 | ISBN: 3642349242 | PDF | 220 pages | 3 MB

Interest Rate Derivatives Explained: Volume 1: Products and Markets  eBooks & eLearning

Posted by interes at July 6, 2015
Interest Rate Derivatives Explained: Volume 1: Products and Markets

Interest Rate Derivatives Explained: Volume 1: Products and Markets (Financial Engineering Explained) by Jörg Kienitz
English | 2015 | ISBN: 1137360062 | 208 pages | PDF | 6,4 MB