Interest Rate Modeling. Volume 3: Products and Risk Management

Description:

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 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 

Brief description: "...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..."

Tags: single-rate vanilla derivatives, multi-rate vanilla derivatives, callable libor exotics, bermudan swaptions, tarns, volatility swaps, derivatives, out-of-model adjustments, risk management, fundamentals of risk management, payoff smoothing and related methods, pathwise differentiation, importance sampling, control variates, vegas in libor market models, markovian projection, libor market model, leif andersen, vladimir piterbarg

Website: http://astore.amazon.co.uk/moneyscience3-21/detail/0984422129