- Interest Rate Modeling volume 3 - Products and Risk Management.djvu
Interest Rate Modeling. Volume 3: Products and Risk ManagementLeif B.G. Andersen (Author), Vladimir V. Piterbarg
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
- 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
- Markovian Projection
Product Details
- Hardcover: 548 pages
Publisher: Atlantic Financial Press (August 17, 2010)
Language: English