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"The interest rate derivatives markets underwent significant change in the wake of the global financial crisis, change that included the adoption of multi-curve modelling frameworks and market data. Furthermore, even for simple financial instruments significant effort for pricin…
The book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments. The book is timely in that it describes the many changes the field has seen post 2007 (Multi-Curves …
" ... CD which contains the source code for all the examples."--Verso de la jaquette.
This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C+…
This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C+…