Interest Rate Modeling. Volume 2 Reviews

Author: Leif B.G. Andersen
Edition:
Publisher: Atlantic Financial Press
Binding: Hardcover
ISBN: 0984422110
Price:
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Interest Rate Modeling. Volume 2: Term Structure Models

Table of contents for all three volumes (full details at andersen-piterbarg-book.Interest Rate Modeling. Volume 2 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 

Volume IIRead full reviews of Interest Rate Modeling. Volume 2: Term Structure Models.

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Interest Rate Modeling. Volume 2: Term Structure Models - Leif BG Andersen, Vladimir V. Piterbarg

http://okey-books.com/Interest-Rate-Modeling-Volume-2-Term-Structure-Models/p307089/

Review In the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives. Now the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook.--Peter Carr, Global Head of Market Modeling, Morgan Stanley This is a most comprehensive book on interest rate modeling and derivatives valuation. I recommend it highly to all students and researchers. --Farshid Jamshidian, Professor of Applied Mathematics, Twente University Andersen and Piterbarg are to be congratulated on moving our understanding of valuation of interest rate derivatives to a new level. --Joh

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Atlantic Financial Press 9780984422111 Interest Rate Modeling. Volume 2: Term Structure Models Description 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 techniques to provide the reader with an integrated appr

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Interest Rate Modeling. Volume 2: Term Structure Models, ISBN-13: 9780984422111, ISBN-10: 0984422110

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Interest Rate Modeling. Volume 2 : Hardback : Atlantic Financial Press : 9780984422111 : 0984422110 : 17 Aug 2010 : "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its d

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Interest Rate Modeling. Volume 2 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