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Finciraptor

The first part of Interest Rate Derivatives Explained covers products and markets

 Financial Modelling covers many state of the art financial models. It is unique since it provides full working Matlab Source Code

The second part of Interest Rate Derivatives Explained covers volatility and term structure modelling

For the material and questions contact ir2@jkienitz.de

We offer:

Excel Sheet - SABR PDE Pricing

Excel Sheet - SABR PDE Pricing Cash Settled Swaptions

Excel Sheet - SABR Approximation Formulas Illustration

Excel Sheet - LMM Illustration (needs further xla stuff)

Excel XLA Stuff

Excel Sheet - Volatility Illustration of LMM

Excel Sheet - Hull/White Model (MC and Analytic)

Excel Sheet - Heston Model (basic)

Excel Sheet - Pricing (CMS, CMS Spread, CMS Cap, CMS Floor, Quanto, Swaps with Multi Curve)

Financial Modelling - Matlab Author Site (book)

For questions and comments please use finmodelling@jkienitz.de

You can buy the book here