纬度 发表于 2025-3-25 04:23:51
https://doi.org/10.1007/978-3-662-04553-4Interest rates; JEL classification: G12, G13, E43; Stochastic Differential Equations; Stochastic calculHARD 发表于 2025-3-25 08:59:45
Definitions and NotationIn this first chapter we present the main definitions that will be used throughout the book. We will introduce the basic concepts in a rigorous way while providing at the same time intuition and motivation for their introduction. However, before starting with the definitions, a remark is in order.Lament 发表于 2025-3-25 14:49:37
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Pricing Derivatives on a Single Interest-Rate CurveIn this chapter, we present a sample of financial products we believe to be representative of a large portion of the interest-rate market. We will use different models (mostly the LFM and the G2++ model) for different problems, and try to clarify the advantages of each model. All the discounted payoffs will be calculated at time . = 0.无政府主义者 发表于 2025-3-26 01:07:17
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Damiano Brigo,Fabio MercurioAuthors work as Head of Credit Models and Head of Financial Models at an Italian bank, this first-hand contact with trading gives them a practical insights on the subject.Accessible overview of intere荣幸 发表于 2025-3-26 15:57:39
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Book 20011st editionrest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives. ..The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling