LIBOR Market Model: Spreadsheet and Source Code


Spreadsheet and code for the LIBOR market model added to finmath.net. Java source code availabe from the finmath lib subversion repository.

screenshot-modelscreenshot-swaption

Curve Calibration: Spreadsheet and Source Code


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.

CurveCalibrationScreenshot

Vorlesung 2012/2013: Numerische Methoden der Finanzmathematik

Informationen zur Vorlesung
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.

Information zur Vorlesung
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

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

Sample chapters for "Mathematical Finance" are available as a free download from the book's homepage.

Joshi on LMM

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.