Interest Rate Modeling. Volume 1: Foundations And Vanilla Models
SKU: DADAX0984422102
ISBN : 978098442210
Condition : New
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Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
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 MethodsMonte Carlo MethodsFundamentals of Interest Rate ModellingFixed Income Instruments Part II. Vanilla Models
Yield Curve Construction and Risk ManagementVanilla Models with Local VolatilityVanilla 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 IOne-Factor Short Rate Models IIMulti-Factor Short Rate ModelsThe Quasi-Gaussian Model with Local and Stochastic VolatilityThe Libor Market Model IThe Libor Market Model IIVolume III. Products and Risk Management
Part IV. Products
Single-Rate Vanilla DerivativesMulti-Rate Vanilla DerivativesCallable Libor ExoticsBermudan 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
Specifications of Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
Author | Leif B. G. Andersen, Vladimir V. Piterbarg |
Binding | Hardcover |
Language | English |
ISBN-10 | 0984422102 |
ISBN-13 | 9780984422104 |
Publisher | Atlantic Financial Press |
Number Of Pages | 492 |
Publication Date | 2010-02-06 |
DIMENSIONS | |
---|---|
Height | 9.21 inch. |
Length | 6.14 inch. |
Width | 1.06 inch. |
Weight | 1.86 pounds. |
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