Posted by **step778** at Aug. 12, 2013

2006 | pages: 1014 | ISBN: 3540221492 | PDF | 6,9 mb

Posted by **mowmow** at July 1, 2007

Publisher:Springer (2007-08) | ISBN-10: 3540221492 | PDF | 5.3 Mb | 981 pages

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

Posted by **arundhati** at Sept. 22, 2014

2009 | ISBN-10: 1420090569 | 353 pages | PDF | 10 MB

Posted by **harrry** at June 11, 2009

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.

Posted by **interes** at May 28, 2015

English | January 5, 2010 | ISBN: 0230240127 | 538 pages | PDF | 6 MB

Posted by **Veslefrikk** at Aug. 27, 2014

Sp,,,er | 2006 | ISBN: 3540270655 | 235 pages | PDF | 3 MB

Posted by **Veslefrikk** at April 7, 2014

English | 1st Edition. (January 5, 2010) | ISBN: 0230240127 | 538 pages | PDF | 6 MB

Posted by **elodar** at Dec. 29, 2013

English | 2004-01-05 | ISBN: 0691118949 | 288 pages | PDF | 54 mb

Posted by **interes** at May 5, 2013

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.

Posted by **roxul** at May 23, 2012

English | ISBN: 0691118949 | 2004 | 288 pages | PDF | 54 MB