A simple introduction to continuous-time stochastic processes
Arbitrage-free valuation
Valuing interest rate and credit derivatives : basic pricing frameworks
Fundamental and preference-free single-factor Gaussian models
Fundamental and preference-free jump-extended Gaussian models
The fundamental Cox, Ingersoll, and Ross model with exponential and lognormal jumps
Preference-free CIR and CEV models with jumps
Fundamental and preference-free two-factor affine models
Fundamental and preference-free multifactor affine models
Fundamental and preference-free quadratic models
The HJM forward rate models
The LIBOR market model.
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Dynamic term structure modeling : the fixed income valuation course by Sanjay K. Nawalkha. ISBN 9780471737148. Published by Wiley in 2007. Publication and catalogue information, links to buy online and reader comments.
