Interest Rate Modeling

Interest Rate Modeling: Post-Crisis Challenges and Approaches  

Posted by Underaglassmoon at Dec. 30, 2015
Interest Rate Modeling: Post-Crisis Challenges and Approaches

Interest Rate Modeling: Post-Crisis Challenges and Approaches
Springer | Quantitative Finance | January 27, 2016 | ISBN-10: 3319253832 | 140 pages | pdf | 2.01 mb

Authors: Grbac, Zorana, Runggaldier, Wolfgang J.

Interest Rate Modeling: Theory and Practice  

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
An Elementary Introduction To Stochastic Interest Rate Modeling, 2nd Edition

An Elementary Introduction To Stochastic Interest Rate Modeling, 2nd Edition by Nicolas Privault
English | 2012 | ISBN: 9814390852 | 244 pages | PDF | 1,6 MB

Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.
Interest Rate Modeling. Volume 3: Products and Risk Management (Repost)

Leif B.G. Andersen and Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 3: Products and Risk Management"
English | ISBN: 0984422129 | 2010 | 548 pages | Djvu | 10 MB
Interest Rate Modeling. Volume 2: Term Structure Models (Repost)

Leif B.G. Andersen and Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 2: Term Structure Models"
English | 2010 | ISBN: 0984422110 | 288 pages | Djvu | 8 MB
Interest Rate Modeling. Volume 1: Foundations and Vanilla Models (Repost)

Leif B.G. Andersen, Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 1: Foundations and Vanilla Models"
English | ISBN: 0984422102 | 2010 | 492 pages | Djvu | 12 MB
Interest Rate Modeling. Volume 3: Products and Risk Management

Leif B.G. Andersen and Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 3: Products and Risk Management"
English | ISBN: 0984422129 | 2010 | 548 pages | Djvu | 10 MB
Interest Rate Modeling. Volume 1: Foundations and Vanilla Models (Repost)

Leif B.G. Andersen, Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 1: Foundations and Vanilla Models"
English | ISBN: 0984422102 | 2010 | 492 pages | Djvu | 12 MB
Interest Rate Modeling. Volume 2: Term Structure Models

Leif B.G. Andersen and Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 2: Term Structure Models"
Atlan tic Fin ancial Press | 2010 | ISBN: 0984422110 | 288 pages | Djvu | 8,9 MB

PDE Valuation of Interest Rate Derivatives  

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.