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Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
Interest Rate Modeling Volume 1 Foundations and Vanilla Models
Author: Leif B.G. Andersen, 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 Instrument...  more »
      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 
ISBN-13: 9780984422104
ISBN-10: 0984422102
Publication Date: 2/6/2010
Pages: 492
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Publisher: Atlantic Financial Press
Book Type: Hardcover
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