Stamm R., Kenyon C. Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing

Atlantic Financial Press – 2004, 1188 pages ISBN: 0984422102, 0984422110, 0984422129 The book is organized into three volumes, five parts (plus appendix), and 26 chapters: Part I. Foundations Introduction to Arbitrage Pricing Theory Finite Difference Methods Monte Carlo Methods) Fundamentals of Interest Rate Modelling Fixed Income Instruments Part II. Vanilla Models Yield Curve...

Wiley – 2011, 296 pages ISBN: 0470669438 Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to...

Palgrave Macmillan, 2014. — 264 p. — ISBN: 1137374659, 9781137374653 Interest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve sufficient in representing real world markets. Instead, practitioners and academics are now using multi-curve frameworks, which more accurately represent current...

Wiley – 2011, 448 pages ISBN 0470977612 A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature the risks of the models themselves. This book starts...

Wiley, 2008. – 1033 p. – ISBN: 047017921X, 9780470179215 If you’re seeking solutions to advanced and even esoteric problems, Advanced Analytical Models goes beyond theoretical discussions of modeling by facilitating a thorough understanding of concepts and their real-world applications—including the use of embedded functions and algorithms. This reliable resource will equip you...