Relative value and quantitative analysis Articles
Pricing and Risk Management of Synthetic CDOs Jaffar Hussain
Saudi National Commercial Bank
September 2006
free download 313KB
The impact of option strategies in financial portfolios performance: mean-variance and stochastic dominance approaches
Abstract available here
Fathi Abid, Mourad Mroua (Faculty of Business and Economics, University of Sfax) and Wing-Keung Wong (Department of Economics, National University of Singapore)
April 2006
free download pdf (400KB)
Tools for sampling Multivariate Archimedean Copulas
Abstract available here
Mario R. Melchiori, Universidad Nacional del Litoral, Santa Fe, Argentina
April 2006
free download pdf (671KB)
Relative value analysis: calculating corporate bond spreads Moorad Choudhry
February 2006
free download 160KB
Analysing the methodology of CreditRisk+ by Fast Fourier Transform
More details, source codes downloads and Abstract, available here
Mario Melchiori, Universidad Nacional del Litoral, Santa Fe, Argentina
July 2004
free download pdf (1993KB)
A Primer on Probability Theory and Stochastic Modelling Mohamoud Dualeh
May 2004
free download pdf (114KB)
An Introduction to the Mathematics of Fixed Income Pricing Mohamoud Dualeh
May 2004
free download pdf (162KB)
Fitting the term structure of interest rates: the practical implementation of cubic spline methodology Rod Pienaar
January 2004
free download pdf (719KB)
Credit Derivative Models: Which Archimedean Copula is the right one?
More details and Abstract download, available here
Mario Melchiori
Universidad Nacional del Litoral
October 2003
free download pdf (325KB)
Determining the expression for the fair value of the swap spread: an approach using Libor and GC repo rates Moorad Choudhry
October 2001
free download pdf (120KB)
An illustration from the UK gilt market: The impact of demand and liquidity on the information content and predictive power of the government bond yield curve Moorad Choudhry
December 1999
free download pdf (140KB)

Market Research

Fixed Income Markets

Credit Derivatives and Synthetic Structures

Derivatives and Financial Engineering

Relative Value and Quantitative Analysis

Learning Curve

for pdfs

Home   What's New   Market Research   Presentations
RATE yield curve model   Excel Spreadsheets
Yield Curves   Glossary   Contact Us
© YieldCurve.com Disclaimer web design