Interest Rate Modeling Volume 3 - Products and Risk Management

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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
  

      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
  

Product Details

• Hardcover: 548 pages
  Publisher: Atlantic Financial Press (August 17, 2010)
  Language: English
  

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关键词：Management Managemen products interest Modeling volume

thanks for sharing。。。。

谢谢楼主，好东西我收下了

連volume 3也有, 謝樓主！

it is not pdf, can't open it.
can u upload pdf file?

renda06 发表于 2012-4-10 23:57
it is not pdf, can't open it.
can u upload pdf file?

The file format is DJVU.  You can search "DJVU viewer" in Google to download the reader.  I do not have a pdf version.

martinnyj

谢谢分享啊！！！

多谢LZ分享:)

谢谢楼主