Interest rate modeling
"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 description of real-life model usage and for its expansive discussion of model calibration, approxim…
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- Full title :Interest rate modeling / Leif B.G. Andersen and Vladimir V. Piterbarg.
Summary
"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 description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods"--
"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 approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance"--
Edition Statements
- Publication Date:©2010
- Edition:First hardcover edition
Publication Statements
- Publisher(s):Atlantic Financial Press
- Place of Publication:London
- Language:eng
- Publication Date:©2010
The Physical Object
- Description:3 volumes (1154 pages) : : illustrations ; : 24 cm
Edition Identifiers
- ISBN:9780984422104, 0984422102, 9780984422111, 0984422110, 9780984422128, 0984422129
- oclc:ocn700943205
- LC Classification:HG6024.5
- Dewey Decimal:332.632
Table of Contents
V. 1. Foundations and vanilla models : introduction to arbitrage pricing theory ; Finite difference methods ; Monte Carlo methods ; Fundamentals of interest rate modeling ; 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 -- V. 2. Term structure models : one-factor short rate models I ; One-factor short rate models II ; Multi-factor short rate models ; The quasi-Gaussian model ; The Libor market model I ; The Libor market model II -- V. 3. Products and risk management : single-rate vanilla derivatives ; Multi-rate vanilla derivatives ; Callable Libor exotics ; Bermudan swaptions ; TARNs, volatility swaps, and other derivatives ; Out-of-model adjustments ; Introduction to risk management ; Payoff smoothing and related methods ; Pathwise differentiation ; Importance sampling and control variates ; Vegas in Libor market models -- Appendix : Markovian projection.
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