Interest Rate Modeling. Volume 2: Term Structure Models
Leif B.G. Andersen (Author), Vladimir V. Piterbarg
  

ReviewIn the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives. Now the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook. --Peter Carr, Global Head of Market Modeling, Morgan Stanley

This is a most comprehensive book on interest rate modeling and derivatives valuation. I recommend it highly to all students and researchers. --Farshid Jamshidian, Professor of Applied Mathematics, Twente University

Andersen and Piterbarg are to be congratulated on moving our understanding of valuation of interest rate derivatives to a new level. --John Hull, Professor of Derivatives and Risk Management, University of Toronto

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: 376 pages Publisher: Atlantic Financial Press (August 17, 2010) Language: English ISBN-10: 0984422110 ISBN-13: 978-0984422111