Serving the Quantitative Finance Community

Search found 6 matches

by cprasad
September 19th, 2021, 5:44 pm
Forum: Book And Research Paper Forum
Topic: Book on interest-rate products
Replies: 0
Views: 3016

Book on interest-rate products

I am looking for a book that has  topics like FRAs, Interest rate swaps, Swaptions, Caps and Floors i.e.  the kind of stuff covered in  Chap 22 and 25 of Hull's book. This is for teaching a course involving these topics. The treatment must be  stochastic calculus based.   T hese topics are covered ...
by cprasad
August 9th, 2021, 1:54 pm
Forum: Book And Research Paper Forum
Topic: Duration in Vasicek model
Replies: 2
Views: 2270

Duration in Vasicek model

How do you calculate duration of a zero-coupon bond in  short-rate models such as Vasicek model?  If you compute duration as the sensitivity w.r.t. yield of the bond, the duration would be equal to T, the time-to-maturity no matter which model you use. But if it is w.r.t. the short rate r  then it ...
by cprasad
June 13th, 2018, 2:40 pm
Forum: Book And Research Paper Forum
Topic: Foreign Exchange and Related Derivatives
Replies: 6
Views: 10162

Foreign Exchange and Related Derivatives

I am looking for book on Foreign Exchange and Related Derivatives.
I would appreciate it if you could suggest some book.
by cprasad
November 26th, 2017, 2:50 pm
Forum: Book And Research Paper Forum
Topic: Similarity Transformation
Replies: 12
Views: 8319

Similarity Transformation

I am looking for a book (or any resource such as an article, website, etc.) for learning Similarity Transformation for transforming
differential equations. I would appreciate it if you let me know of any reference.
by cprasad
March 12th, 2017, 12:07 pm
Forum: Book And Research Paper Forum
Topic: Implementation of interest rate models in Excel
Replies: 3
Views: 5415

Implementation of interest rate models in Excel

I am looking for a book on implementation of interest-rate models (like Vasicek Model, CIR, BDT, HJM) in
MS Excel. I would greatly appreciate it if someone could help me.
by cprasad
September 10th, 2016, 3:10 pm
Forum: Book And Research Paper Forum
Topic: Credit Derivatives
Replies: 1
Views: 5134

Credit Derivatives

I am looking for a book that would complement to O'Kane. O'Kane only has modeling related details. I am looking for some good text which would complement this book by giving the mechanics, structure and analytics of various credit derivatives. I have also looked through Lando and Duffie & Single...