finmath
LIBOR Market Model: Spreadsheet and Source Code
07. 03 13 - 19:28 - Category:Mathematics
(English Text) | Software
(English Text)
Spreadsheet and code for the LIBOR market model added to finmath.net. Java source code availabe from the finmath lib subversion repository.
Curve Calibration: Spreadsheet and Source Code
31. 12 12 - 17:38 - Category:Mathematics
(English Text) | Software
(English Text)
Demo spreadsheet for the calibration of curves (discount curves, forward curves) to interest rate swaps added to the spreadsheets section of finmath.net. Java source code availabe from the finmath lib subversion repository.
Vorlesung 2012/2013: Numerische Methoden der Finanzmathematik
20. 10 12 - 09:57 - Category:Mathematik
(German Text)
Informationen zur Vorlesung
finden sich unter http://www.christian-fries.de/finmath/lecture12-13/.
- Numerische Methoden der Finanzmathematik.
finden sich unter http://www.christian-fries.de/finmath/lecture12-13/.
Vorlesung 2012: Finanzmathematik: Bewertungsmethoden für Zinsderivate. Vor und nach der Finanzkrise.
15. 04 12 - 21:26 - Category:Mathematik
(German Text)
Information zur Vorlesung
findet sich unter http://www.christian-fries.de/finmath/lecture12/.
- Finanzmathematik: Theorie, Modellierung und
objektorientierte Implementierung von
Bewertungsmethoden für Zinsderivate.
Vor und nach der Finanzkrise.
findet sich unter http://www.christian-fries.de/finmath/lecture12/.
Conditional Analytic Monte-Carlo Pricing Scheme for Auto-Callables
27. 04 08 - 23:43 - Category:Mathematics
(English Text) | Research
(English Text)
We renamed the paper cited in the Journal of
Computational Finance 11(3) as "A semi-analytic
Monte Carlo pricing scheme for auto-callable
products". Its new title is "Conditional Analytic Monte Carlo
Pricing Scheme for Auto-Callable
Products".
Sample Chapters
05. 02 08 - 20:52 - Category:Mathematics
(English Text)
Sample chapters for "Mathematical Finance" are
available as a free download from the book's homepage.
Joshi on LMM
21. 10 07 - 23:37 - Category:Mathematics
(English Text)
Mark Joshi is giving a seminar on "Implementing the
LIBOR Market Model". The seminar will take place in
London, 24th-25th January 2008. For more information
see the flyer. Literature: Mark's
books at amzon.co.uk, amzon.com, amazon.de.