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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK- Click For Further Information

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..."

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

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