Interest Rate Modeling. Volume 1: Foundations And Vanilla Models

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