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Pricing Models for Bermudan-Style Interest Rate Derivatives

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

considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives;

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Pricing Interest-Rate Derivatives

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach;

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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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Pricing and Trading Interest Rate Derivatives

Pricing and Trading Interest Rate Derivatives;

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Interest Rate Swaps and Their Derivatives

An up-to-date look at the evolution of interest rate swaps and derivatives Interest Rate Swaps and Derivatives bridges the gap between the;

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A Factor Model Approach to Derivative Pricing

Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing;

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Interest Rate Models

--confident enough to develop their own interest rate models or to price nonstandard derivatives using existing models. The mathematical chapters;

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Financial Derivatives

lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion;

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and;

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

and, normal model for derivatives, market models and managing exotics instruments* Pricing before and after the financial crisis, collateral;

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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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Modeling Derivatives Applications In Matlab, C++, And Excel

Prebuilt Code for Modeling and Pricing Today's Complex Derivatives Justin London shows how to implement pricing algorithms for a wide;

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Derivatives, Risk Management And Value

, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real;

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Fixed-Income Analysis for the Global Financial Market

This comprehensive new book explains and clarifies the essential building blocks underlying the pricing and risk analysis of fixed-income;

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Libor Market Model

source code, used for pricing interest rate derivatives in this book, may be ordered at the following web site: http: //www.irina-goetsch.com;

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Fixed-Income Securities

Dynamic methods for interest rate risk pricing and hedging. Fixed-Income Securities provides a survey of modern methods for pricing and;

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Implementing Derivatives Models

Binomial methods. It is a source of practical pricing and hedging techniques for complex options, including interest rate exotics.;

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A Factor Model Approach to Derivative Pricing

Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing;

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Interest Rate Models - Theory and Practice

data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing;

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An Introduction to the Mathematics of Financial Derivatives

of derivatives. The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing;

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Interest Rate Modeling

for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.;

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Interest Rate Modeling

-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.;

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

market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted;

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Interest Rate Models - Theory and Practice

market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted;

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The LIBOR Market Model in Practice

derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full;

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Financial Mathematics: An Introduction

option pricing and Mean-Variance approach of Markowitz for portfolio optimization, the text also includes now standard topics of interest rate;

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