Interest Rate Models Theory Practice

Interest Rate Models - Theory and Practice (Repost)  eBooks & eLearning

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 - Theory and Practice: With Smile, Inflation and Credit  eBooks & eLearning

Posted by mowmow at July 1, 2007
Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
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.

Interest Rate Modeling: Theory and Practice  eBooks & eLearning

Posted by arundhati at Sept. 22, 2014
Interest Rate Modeling: Theory and Practice

Author, "Interest Rate Modeling: Theory and Practice"
2009 | ISBN-10: 1420090569 | 353 pages | PDF | 10 MB

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Repost)  eBooks & eLearning

Posted by harrry at June 11, 2009
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)  eBooks & eLearning

Posted by Veslefrikk at Aug. 27, 2014
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)  eBooks & eLearning

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)  eBooks & eLearning

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