Interest Rate Modeling. Volume 2: Term Structure Models
In the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives. Now the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook.  --Peter Carr, Global Head of Market Modeling, Morgan StanleyThis is a most comprehensive book on interest rate modeling and derivatives valuation. I recommend it highly to all students and researchers. --Farshid Jamshidian, Professor of Applied Mathematics, Twente UniversityAndersen and Piterbarg are to be congratulated on moving our understanding of valuation of interest rate derivatives to a new level. --John Hull, Professor of Derivatives and Risk Management, University of Toronto