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Interest Rate Modelling in the Multi-Curve Framework

Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework;

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Advanced Fixed Income Analysis

Aimed at experienced practitioners in the corporate bond markets, this book introduces the techniques used for analysis and interpretation;

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Interest Rate Models

modelling: short-rate models, no-arbitrage models, the Heath-Jarrow-Morton framework, multifactor models, forward measures, positive-interest models;

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Advances in Growth Curve and Structural Equation Modeling

and explores the growth curve model as a valuable tool for gaining insights into several research topics of interest to academics and;

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Fixed-Income Securities

hedging fixed-income securities in the presence of interest rate risk. Modern theory of finance provides a wealth of new approaches to the;

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The Dynamics of Interest Rates in CEE-3

book analyzes interdependencies between macroeconomic variables and interest rates in an integrated setting. The aim is to model the;

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PDE Valuation of Interest Rate Derivatives

analyzed Markovian model class into the entire framework of interest rate models. - To present and implement robust numerical schemes, which enable;

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Capital Market Instruments

This book is a revised and updated guide to some of the most important issues in the capital markets today, with an emphasis on fixed;

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Capital Market Instruments

This book is a revised and updated guide to some of the most important issues in the capital markets today, with an emphasis;

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Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial;

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Interest Rate Modelling

Growth in the derivatives market has brought with it an ever-increasing volume and range of interest rate dependent products. To allow;

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Analysing and Interpreting the Yield Curve

is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured;

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Interest Rate Modelling

This book provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory;

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Developments In Macro-Finance Yield Curve Modelling

propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future;

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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products;

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Bond and Money Markets

instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias

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Interest Rate Markets

How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year;

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Analytical Modelling of Fuel Cells

Analytical Modelling of Fuel Cells, Second Edition, is devoted to the analytical models that help us understand the mechanisms of cell;

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Developments in Macro-Finance Yield Curve Modelling

ignored as long as we used short-term nominal interest rates as the instrument of policy because money and other credit markets would clear at the;

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How to Implement Market Models Using VBA

curve models, interest rate exotics, and more, guiding readers thoroughly through pricing in the capital markets area. The companion website;

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Finite Difference Methods In Financial Engineering

options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling;

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Spatial Pattern Dynamics in Aquatic Ecosystem Modelling

using high resolution photographs prove to be good in representing aquatic plant growth. Multi-Agent Systems can capture well the spatial;

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Spatial Pattern Dynamics in Aquatic Ecosystem Modelling

using high resolution photographs prove to be good in representing aquatic plant growth. Multi-Agent Systems can capture well the spatial;

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Fixed Income Securities

, namely, the arbitrage pricing of securities with fixed cash flows and the various ways to quote interest rates and returns. Part Two then;

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Robust Libor Modelling and Pricing of Derivative Products

modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also;

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A geometric view of the term structure of interest rates

This set of lecture notes is the outcome of a lecture series, given in April 2000 by the author while holding the Cattedra Galileiana at;

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Nonlinear Economic Dynamics and Financial Modelling

of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working;

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