Most Relevant Web Resources
for "callable capped floater swap software" (OPTIONS Market)
superderivatives -
glossary
- callable capped floater swap
www.sdgm.com
Callable capped floater swap
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GFI Group - interdealer brokerage, market data and analytical software provider www.gfigroup.com
Gfi group formed in 1987 gfi provides competitive interdealer brokerage services in a multitude of global cash and derivatives markets, including credit derivatives and fixed income, foreign exchange and financial derivatives, equity, energy and commodities
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How to Price Snowballs Using FINCAD, Resources , FINCAD www.fincad.com
Learn what snowballs are in the financial derivatives world and how to value callable snowballs in fincad analytics
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An efficient lattice algorithm for the Libor Market Model www.quantcode.com
Home of open source, jobs and goodies for quant trading finance
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Artem Gershkovich , LinkedIn www.linkedin.com
View artem gershkovichs professional profile on linkedin linkedin is the worlds largest business network, helping professionals like artem gershkovich discover inside connections to recommended job candidates, industry experts, and business partners
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an efficient lattice algorithm for the libor market model: the journal of derivatives
www.iijournals.com
Interest rate derivatives are a vitally important, and highly diverse, class of financial instruments the libor market model lmm framework greatly simplifies pricing the simpler types by modeling the forward rate at every maturity as being lognormal but pathdependent payoffs, such as for a callable instrument or a range accrual note, introduce major problems the workhorse for valuing such contracts in the equity space is the binomial or trinomial lattice in this article, xiao develops a pricing lattice within the lmm, with a gridtype architecture rather than a tree, and shows that performance of the latticebased model is orders of magnitude faster than monte carlo simulation
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Sophis Launches Risque 6.1 To Address New Risk Management Challenges - Wall Street & Technology www.wallstreetandtech.com
The solution addresses risk associated with structured products, security finance, counterparty risk and reporting
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An Efficient Lattice Algorithm for the Libor Market Model by Tim Xiao :: SSRN www.papers.ssrn.com
The libor market model lmm or bgm has become one of the most popular models for pricing interest rate products it is commonly believed that montecarlo simul
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FINCAD RELEASES NEW VERSION OF FINANCIAL ANALYTICS SOFTWARE - bobsguide.com www.bobsguide.com
Vancouver, bc, canada, december 21, 2005 fincad released version 9 of their financial analytics software, which contains significant improvements and enhancements to their credit, interest rate and curve building offerings
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An efficient lattice algorithm for the Libor Market Model www.scribd.com
The libor market model lmm or bgm has become one of the most popularmodels for pricing interest rate products it is commonly believed that montecarlosimulation is the only viable method ava by timyxiao in finance, businesslaw, and shifted
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