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Interest Rate Modeling. Volume 3: Products and Risk ManagementLeif
B.G. Andersen (Author), Vladimir V. Piterbarg (Author)
Editorial Reviews
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 details reflect ample experience --Steven Shreve, Professor of Mathematics, Carnegie Mellon
Product Description
Table 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
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
See all Editorial Reviews
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Product Details
Hardcover: 546 pages
Publisher: Atlantic Financial Press (August 17, 2010)
Language: English
ISBN-10: 0984422129
ISBN-13: 978-0984422128
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