Leif B.G. Andersen (Author), Vladimir V. Piterbarg
ReviewThe book is a collection of high quality material that is both very broad and very deep. Highly recommended and a must in the quant library. --Jesper Andreasen, Head of Quantitative Research, Danske Markets, Copenhagen
The authors bring their world-renowned knowledge to this important area of quantitative finance. This book is destined to become a classic. --Mark Broadie, Carson Family Professor of Business, Graduate School of Business, Columbia University
The authors have done what others have not dared to try: a massively comprehensive treatise on fixed-income modeling. --Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University
Product DescriptionTable of contents for all three volumes (full details at andersen-piterbarg-book.com)
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
- Yield Curve Construction and Risk Management
- Vanilla Models with Local Volatility
- Vanilla Models with Stochastic Volatility I
- Vanilla Models with Stochastic Volatility II
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
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
- Fundamentals of Risk Management
- Payoff Smoothing and Related Methods
- Pathwise Differentiation
- Importance Sampling and Control Variates
- Vegas in Libor Market Models
- Markovian Projection
See all Editorial Reviews
Product Details
|