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Interest Rate Modeling. Volume 2: Term Structure Models

Interest Rate Modeling. Volume 2: Term Structure Models

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Interest Rate Modeling. Volume 2: Term Structure 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 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 

Technical Specifications

Country
USA
Brand
Atlantic Financial Press
Manufacturer
Atlantic Financial Press
Binding
Hardcover
ItemPartNumber
Illustrated
UnitCount
1
Format
Illustrated
EANs
9780984422111

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