Interest Rate Modeling. Volume 3 Reviews

Author: Leif B.G. Andersen
Edition:
Publisher: Atlantic Financial Press
Binding: Hardcover
ISBN: 0984422129
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Interest Rate Modeling. Volume 3: Products and Risk Management

Table of contents for all three volumes (full details at andersen-piterbarg-book.Interest Rate Modeling. Volume 3 review. om)

Volume I. Foundations and Vanilla Models

      Part I. Foundations

• Introduction to Arbitrage Pricing Theory
• Finite Difference Methods
• Monte Carlo Methods
• Fundamentals of Interest Rate Modelling
• Fixed Income Instruments

      Part II. Vanilla Models

• Yield Curve Construction and Risk Management
• Vanilla Models with Local Volatility
• Vanilla Models with Stochastic Volatility I
• Vanilla Models with Stochastic Volatility II 

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Interest Rate Modeling. Volume 3: Products and Risk Management - Leif BG Andersen, Vladimir V. Piterbarg

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Review Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics.--Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch The authors bring a matchless combination of theoretical and practical expertise to these volumes. The result is a masterwork: truly insightful, inexhaustible in rigor, and terrifyingly complete in scope.--Tom Hyer, Head of Quant Analytics, UBS Written by two of the sharpest mathematical minds in the industry, the theoretical presentation is precise, the scope is comprehensive, and the implementation de

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TheNile.com.au About FAQ Payment Delivery Contact Us 1800-987-323 Interest Rate Modeling. Volume 3 by Leif BG Andersen Format Hardcover Condition Brand New The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techn

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Interest Rate Modeling. Volume 3 Reviews

om)

Volume I. Foundations and Vanilla Models

      Part I. Foundations

• Introduction to Arbitrage Pricing Theory
• Finite Difference Methods
• Monte Carlo Methods
• Fundamentals of Interest Rate Modelling
• Fixed Income Instruments

      Part II. Vanilla Models

• Yield Curve Construction and Risk Management
• Vanilla Models with Local Volatility
• Vanilla Models with Stochastic Volatility I
• Vanilla Models with Stochastic Volatility II 

Volume II. Term Structure Models

      Part III. Term Structure Models

• One-Factor Short Rate Models I
• One-Factor Short Rate Models II
• Multi-Factor Short Rate Models
• The Quasi-Gaussian Model with Local and Stochastic Volatility
• The Libor Market Model I
• The Libor Market Model II

Volume III. Products and Risk Management

      Part IV. Products

• Single-Rate Vanilla Derivatives
• Multi-Rate Vanilla Derivatives
• Callable Libor Exotics
• Bermudan Swaptions 
• TARNs, Volatility Swaps, and Other Derivatives
• Out-of-Model Adjustments

      Part V. Risk management

• Fundamentals of Risk Management  
• Payoff Smoothing and Related Methods 
• Pathwise Differentiation 
• Importance Sampling and Control Variates 
• Vegas in Libor Market Models 

      Appendix

• Markovian Projection