Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

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By Leif B.G. Andersen, Vladimir V. Piterbarg

"Andersen and Piterbarg have done what others have not dared to try: a massively comprehensive treatise on fixed-income modeling. They take us from the basement to the penthouse, stopping at every floor for a careful tour of the mathematical foundations and numerical methods behind all major modeling approaches, from classical to cutting edge. The rigor and comprehensiveness of this reference work are exceptional."

- Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University

Leif Andersen and Vladimir Piterbarg write:

In the summer of 2004 we decided to organize some of our papers on interest rate modeling together into a short book. Five years and 1200 pages later we ended up with probably the most comprehensive and up-to-date three-volume set (that we still refer to as "the book") on the subject. It covers all topics in interest rate modeling and focuses on modern approaches from a practical (yet rigorous) point of view, reflecting the combined 30 years of industry quant experience of the authors.

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 

Brief description: Andersen and Piterbarg have done what others have not dared to try: a massively comprehensive treatise on fixed-income modeling....

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Website: http://astore.amazon.co.uk/moneyscience3-21/detail/0984422102