danfcook's library 55 articles Export

	The Euro Interest Rate Swap Market [My Copy] BIS Quartely Review (Fall 2003) by Eli M. Remolona, Philip D. Wooldridge posted to ec455 by danfcook on 2007-04-13 03:03:31 as
	The C++ Programming Language: Special Edition [My Copy] (11 February 2000) by Bjarne Stroustrup posted to c ird by danfcook on 2007-04-01 21:30:13 as along with 12 people and 1 group MSukruKuran jmmcg lostcoder matjes charris5 gardak aespinosa alexzeh chandlerc mikaellund michaelbussmann sven_luzar Catalysts Bookshelf
	Evaluating the Noncentral Chi-Square Distribution for the Cox-Ingersoll-Ross Process [My Copy] Computational Economics, Vol. V24, No. 1. (2004), pp. 35-50. by S. Dyrting posted to ird by danfcook on 2007-02-23 03:14:15 as
	A History of Interest Rates, Fourth Edition (Wiley Finance) [My Copy] (29 August 2005) by Sidney Homer, Richard Sylla posted to ird by danfcook on 2007-02-22 21:37:40 as
	Interest Rate Volatility as Stochastic Factor [My Copy] Gilfford Fong Associates (1992) by Oldrich A. Vasicek, Gifford H. Fong posted to ird by danfcook on 2007-02-16 16:59:35 as
	The pricing of commodity contracts [My Copy] Journal of Financial Economics, Vol. 3, No. 1-2. (1976), pp. 167-179. by Fischer Black posted to bibtex-import by danfcook on 2007-02-03 19:41:06 as along with 1 person trivial81
	Stochastic Calculus Models for Finance: Continuous Time Models (Springer Finance) [My Copy] (01 June 2004) by Steven E. Shreve posted to ird by danfcook on 2007-02-01 17:33:14 as
	Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models [My Copy] Journal of Derivatives (Fall 1994), pp. 7-16. by John C. Hull, Alan White posted to ird by danfcook on 2007-02-01 17:14:46 as along with 1 person alexv
	Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models [My Copy] Journal of Derivatives, Vol. 2, No. 2. (Winter 1994), pp. 37-48. by J. Hull, A. White posted to ird by danfcook on 2007-02-01 17:10:09 as along with 3 people joeionnojitsu alexv abelikoff
	The Market Model of Interest Rate Dynamics [My Copy] Mathematical Finance, Vol. 7, No. 2. (1997), pp. 127-155. by A. Brace, D. Gatarek, M. Musiela posted to ird by danfcook on 2007-02-01 17:09:15 as along with 1 person joeionnojitsu
	LIBOR and swap market models and measures [My Copy] Finance and Stochastics, Vol. V1, No. 4. (1997), pp. 293-330. by Farshid Jamshidian posted to ird by danfcook on 2007-02-01 02:47:58 as
	One-factor model of interest rates and its application to treasury bond options [My Copy] Financial Analysts Journal (January 1990) by Fischer Black, Emanuel Derman, William Toy posted to ird by danfcook on 2007-02-01 02:30:25 as along with 2 people and 2 groups syoyo 1stl Statistics_and_Social_Science OR
	A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures [My Copy] pp. 119-125. by Klaus Sandmann posted to ird by danfcook on 2007-01-31 06:02:23 as
	Term Structure Movements and Pricing Interest Rate Contingent Claims [My Copy] Journal of Finance, Vol. 41, No. 5. (December 1986), pp. 1011-29. by Thomas S. Y. Ho, Sang B. Lee posted to ird by danfcook on 2007-01-30 04:33:03 as
	A Lattice Framework for Option Pricing with Two State Variables [My Copy] The Journal of Financial and Quantitative Analysis, Vol. 23, No. 1. (1988), pp. 1-12. by Phelim P. Boyle posted to no-tag by danfcook on 2007-01-28 19:05:09 as
	The valuation of options on yields [My Copy] Journal of Financial Economics, Vol. 26, No. 1. (July 1990), pp. 97-121. by Francis A. Longstaff posted to ird by danfcook on 2007-01-28 19:02:10 as
	Dictionary of Financial Engineering (Wiley Series in Financial Engineering) [My Copy] (04 December 2000) by John F. Marshall posted to ird by danfcook on 2007-01-28 17:52:01 as along with 1 person quianominorleo
	the stability of lognormal interest rate models and the pricing of Eurodollor futures [My Copy] by K. Sandmann, D. Sondermann posted to ird by danfcook on 2007-01-28 17:31:41 as
	The Mathematics of Financial Modeling and Investment Management (Frank J. Fabozzi Series) [My Copy] (29 March 2004) by Sergio M. Focardi, Frank J. Fabozzi posted to ird by danfcook on 2007-01-27 23:40:15 as along with 2 people lehalle svbcrypto
	Applied Econometric Time Series, 2nd Edition [My Copy] (01 August 2003) by Walter Enders posted to ird by danfcook on 2007-01-27 23:39:14 as along with 1 person gmz
	Analysis of Financial Time Series (Wiley Series in Probability and Statistics) [My Copy] (30 August 2005) by Ruey S. Tsay posted to ird by danfcook on 2007-01-27 23:39:03 as along with 5 people mdengler betting orm hirose30 nmdang
	Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability) [My Copy] (01 November 2008) by Marek Musiela, Marek Rutkowski posted to ird by danfcook on 2007-01-27 23:36:51 as along with 1 person euclid
	Introduction to C++ for Financial Engineers with CD-ROM: An Object-Oriented Approach (The Wiley Finance Series) [My Copy] (15 December 2006) by Daniel J. Duffy posted to ird by danfcook on 2007-01-27 23:36:38 as
	Options, Futures and Other Derivatives (6th Edition) [My Copy] (10 June 2005) by John C. Hull posted to ird by danfcook on 2007-01-27 23:36:17 as along with 1 person trivial81
	C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) [My Copy] (06 September 2004) by Mark S. Joshi posted to ird by danfcook on 2007-01-27 23:35:52 as
	Mathematics of Financial Markets (Springer Finance) [My Copy] (08 October 2004) by Robert J. Elliott, Ekkehard P. Kopp posted to ird by danfcook on 2007-01-27 23:35:38 as
	Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) [My Copy] (27 March 1998) by Riccardo Rebonato posted to ird by danfcook on 2007-01-27 20:53:58 as
	One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities [My Copy] The Journal of Financial and Quantitative Analysis, Vol. 28, No. 2. (1993), pp. 235-254. by John Hull, Alan White posted to ird by danfcook on 2007-01-27 20:19:22 as
	Efficient Numerical Procedures for the Hull-White Extended Vasicek Model [My Copy] Journal of Financial Engineering, Vol. 3, No. 3/4. (September 1994) by Masaaki Kijima, Izumi Nagayama edited by Anthony F. Herbst posted to ird by danfcook on 2007-01-27 19:45:47 as
	Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models [My Copy] Review of Derivatives Research, Vol. 7, No. 3. (December 2004), pp. 213-239. by Markus Leippold, Zvi Wiener posted to ird by danfcook on 2007-01-27 19:44:21 as
	Efficient Methods for Valuing Interest Rate Derivatives [My Copy] (06 September 2000) by Antoon Pelsser posted to ird by danfcook on 2007-01-27 19:28:53 as
	Implementing Derivative Models (Wiley Series in Financial Engineering) [My Copy] (31 December 1996) by Les Clewlow, Chris Strickland posted to ird by danfcook on 2007-01-27 19:26:29 as along with 2 people and 2 groups euclid 1stl Statistics_and_Social_Science OR
	Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications (Academic Press Advanced Finance Series) (Academic Press Advanced Finance Series) [My Copy] (08 September 2005) by Claudio Albanese, Giuseppe Campolieti posted to ird by danfcook on 2007-01-27 19:22:42 as along with 1 person and 2 groups 1stl Statistics_and_Social_Science OR
	Interest Rate Modelling: Financial Engineering [My Copy] (15 January 2000) by Jessica James, Nick Webber posted to ird by danfcook on 2007-01-27 19:20:38 as
	Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) [My Copy] (15 September 2006) by Damiano Brigo, Fabio Mercurio posted to ird by danfcook on 2007-01-27 19:20:17 as along with 2 people alexv trivial81
	Interest Rate Models: An Introduction [My Copy] (05 January 2004) by Andrew J. G. Cairns posted to ird by danfcook on 2007-01-27 19:19:53 as
	Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model [My Copy] The Journal of Finance, Vol. 47, No. 4. (1992), pp. 1259-1282. by Francis A. Longstaff, Eduardo S. Schwartz posted to ird by danfcook on 2007-01-26 22:49:43 as
	Bond and Option Pricing When Short Rates are Lognormal [My Copy] FINANCIAL ANALYSTS JOURNAL, No. July-August 1991. (July-August 1991 1991), pp. 52-59. by Fischer Black, Piotr Karasinski posted to ird by danfcook on 2007-01-26 22:46:48 as
	An equilibrium characterization of the term structure [My Copy] Journal of Financial Economics, Vol. 5, No. 2. (November 1977), pp. 177-188. by O. Vasicek posted to ird by danfcook on 2007-01-26 22:33:58 as along with 4 people brotchie ras snax alexv
	An Exact Bond Option Formula [My Copy] The Journal of Finance, Vol. 44, No. 1. (1989), pp. 205-209. by Farshid Jamshidian posted to ird by danfcook on 2007-01-26 17:25:36 as
	Pricing Interest-Rate-Derivative Securities [My Copy] by John Hull, Alan White posted to ird by danfcook on 2006-11-28 17:38:19 as along with 1 person ras
	The Pricing of Options on Debt Securities [My Copy] The Journal of Financial and Quantitative Analysis, Vol. 15, No. 1. (1980), pp. 11-24. by Richard J. Rendleman, Brit J. Bartter posted to ird by danfcook on 2006-03-31 19:43:20 as
	Portfolio Selection [My Copy] The Journal of Finance, Vol. 7, No. 1. (1952), pp. 77-91. by Harry Markowitz posted to no-tag by danfcook on 2006-03-31 19:40:44 as along with 9 people and 1 group yangs micha_gruler wibkemichalk pdlug eyliu scis0000001 gi0rgi0ne felixroudier betting EntrepreneurialRisks
	Pricing Interest Rate Derivatives: A General Approach [My Copy] The Review of Financial Studies, Vol. 15, No. 1. (2002), pp. 195-241. by George Chacko, Sanjiv Das posted to ird by danfcook on 2006-03-31 19:39:17 as
	The Price of a Smile: Hedging and Spanning in Option Markets [My Copy] The Review of Financial Studies, Vol. 14, No. 2. (2001), pp. 495-527. by Andrea Buraschi, Jens Jackwerth posted to no-tag by danfcook on 2006-03-31 19:38:14 as
	No Arbitrage and Arbitrage Pricing: A New Approach [My Copy] The Journal of Finance, Vol. 48, No. 4. (1993), pp. 1231-1262. by Ravi Bansal, S. Viswanathan posted to no-tag by danfcook on 2006-03-31 19:37:09 as
	Liquidity and Risk Management [My Copy] Journal of Money, Credit and Banking, Vol. 32, No. 3. (2000), pp. 295-319. by Bengt Holmstrom, Jean Tirole posted to no-tag by danfcook on 2006-03-31 19:35:12 as
	A Theory of the Term Structure of Interest Rates [My Copy] Econometrica, Vol. 53, No. 2. (1985), pp. 385-407. by John C. Cox, Jr, Stephen A. Ross posted to ird by danfcook on 2006-03-31 19:31:14 as along with 6 people and 1 group Dangerfc rivadeneyra ras jrblevin alexv lehalle assetpricing
	The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns [My Copy] The Journal of Finance, Vol. 31, No. 2. (1976), pp. 333-350. by Robert C. Merton posted to no-tag by danfcook on 2006-03-31 19:29:53 as
	A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk [My Copy] The Journal of Finance, Vol. 52, No. 5. (1997), pp. 1973-2002. by Richard Stanton posted to ird by danfcook on 2006-03-31 19:27:46 as

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