Interest rate modeling
By: Leif B.G. Andersen and Vladimir V. Piterbarg
Contributors: Piterbarg, Vladimir V.
Edition: 1st hardcover ed.
Publisher: Atlantic Financial Press
Published: 2010
Place of publication: London; New York
Language: eng
Number of pages: 1154
ISBN-13: 9780984422104; 9780984422111; 9780984422128
Subjects: Mathematical models; Interest rate futures; Interest rates
Description: "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.
Notes: Includes bibliographical references and indexes.
Table of contents: title: v. 1. Foundations and vanilla models:  Introduction to arbitrage pricing theory ; Finite difference methods ; Monte Carlo methods ; Fundamentals of interest rate modeling ; 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 II; title: v. 2. Term structure models: One-factor short rate models I ;  One-factor short rate models II ; Multi-factor short rate models ; The quasi-Gaussian model ; The Libor market model I ; The Libor market model II; title: v. 3. Products and risk management: Single-rate vanilla derivatives ; Multi-rate vanilla derivatives ; Callable Libor exotics ; Bermudan swaptions ; TARNs, volatility swaps, and other derivatives ; Out-of-model adjustments ; Introduction to risk management ; Payoff smoothing and related methods ; Pathwise differentiation ; Importance sampling and control variates ; Vegas in Libor market models; title: Appendix:  Markovian projection.