Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
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
  

      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

Product Details Hardcover: 492 pages Publisher: Atlantic Financial Press (February 6, 2010) Language: English ISBN-10: 0984422102 ISBN-13: 978-0984422104