Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
Product Description
Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
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
- Yield Curve Construction and Risk Management
- Vanilla Models with Local Volatility
- Vanilla Models with Stochastic Volatility I
- Vanilla Models with Stochastic Volatility IIÂ
     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
     Part IV. Products
- Single-Rate Vanilla Derivatives
- Multi-Rate Vanilla Derivatives
- Callable Libor Exotics
- Bermudan SwaptionsÂ
- TARNs, Volatility Swaps, and Other Derivatives
- Out-of-Model Adjustments
- Fundamentals of Risk Management Â
- Payoff Smoothing and Related MethodsÂ
- Pathwise DifferentiationÂ
- Importance Sampling and Control VariatesÂ
- Vegas in Libor Market ModelsÂ
- Markovian ProjectionÂ
Technical Specifications
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