Foundations and vanilla models: Introduction to arbitrage pricing theory Finite difference methods Monte Carlo methods Fundamentals of interest rate modeling Fixed income instruments Yield curve construction and risk management Vanilla models with local volatility Vanilla Models with stochastic volatility I Vanilla models with stochastic volatility II ![]() Includes bibliographical references and indexes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."-Preface. ![]() "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Interest rate futures - Mathematical models.
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