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Books Books 1 - 10 of about 43 related to Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit.    

Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All ...

Damiano Brigo, Massimo Morini, Andrea Pallavicini - Business & Economics - 2013 - 464 pages
The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is ...
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Counterparty Risk and Funding: A Tale of Two Puzzles

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo - Business & Economics - 2014 - 388 pages
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in ...
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Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS ...

Tomasz Bielecki, Damiano Brigo, Frederic Patras - Business & Economics - 2011 - 754 pages
A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will ...
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Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond

Riccardo Rebonato - Business & Economics - 2002 - 467 pages
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always ...
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Interest-rate option models: understanding, analysing and using models for ...

Riccardo Rebonato - Business & Economics - 1996 - 372 pages
An accessible, first-rate overview of interest rate dependent options for traders and institutional investors Until now market professionals seeking to exploit the profit ...
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Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk ...

E. Jouini, J. Cvitanic, Marek Musiela - Business & Economics - 2001 - 669 pages
This 2001 handbook is a comprehensive reference work on mathematical finance, with chapters written by leading researchers.
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Engineering BGM

Alan Brace - Mathematics - 2007 - 240 pages
Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its ...
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