in Books
Interest Rate Derivatives Explained I + II
For questions and comments please use <ir1[at]jkienitz.de> or <ir2[at]jkienitz.de>
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 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
For questions and comments please use <finmodelling[at]jkienitz.de>
Financial Modelling – Matlab Author Site (book)
Financial Modelling – Matlab Author Site (code)
You can buy the books on amazon:
– Interest Rate Derivatives Explained I
– Interest Rate Derivatives Explained II
– Financial Modelling