This book deals with many topics in modern financial mathematics in a way that does not
use advanced mathematical tools and shows how these models can be numerically …

This book is the definitive and most comprehensive guide to modeling derivatives in C++
today. Providing readers with not only the theory and math behind the models, as well as the …

We consider the dynamics of the Danish mortgage loan system and propose several models
to reflect the choices of a mortgagor as well as his attitude towards risk. The models are …

This paper investigates the counterparty credit risk of interest rate swaps positions using the
credit valuation adjustment (CVA) measure, and examines the potential dependence …

The bond portfolio management problem is formulated as a stochastic program based on
interest rate scenarios. The coefficients of the resulting program are subject to errors of …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

The bond portfolio management problem is formulated as a multiperiod stochastic program
using interest rate scenarios. The scenarios are sampled from the binomial lattice from a …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

We consider the simulation of the Black, Derman, Toy model with log-normally distributed
rates in the spot measure, simulated in discrete time and with a continuous state variable …

This monograph was a by-product of the Fixed-Income Specialization Project (FISP)
sponsored by AIMR. Throughout the FISP and the corresponding application development …