Interest Rate Modeling. Volume 1: Foundations and Vanilla Models - Hardcover

Andersen, Leif B G; Piterbarg, Vladimir V

Hardcover

ISBN 10: 0984422102 ISBN 13: 9780984422104

Publisher: Atlantic Financial Press, 2010

Synopsis

Table of contents for all three volumes (full details at andersen-piterbarg-book.com)

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 

Volume II. Term Structure Models

      Part III. Term Structure Models

• One-Factor Short Rate Models I
• One-Factor Short Rate Models II
• Multi-Factor Short Rate Models
• The Quasi-Gaussian Model with Local and Stochastic Volatility
• The Libor Market Model I
• The Libor Market Model II

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 

About this title

About the Author

Leif B.G. Andersen is a Managing Director and the Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU's Courant Institute of Mathematical Sciences. He holds MS degrees in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. He was the recipient of Risk Magazine's 2001 Quant of the Year Award, and has worked since 1993 as a quantitative researcher in the derivatives pricing area. He has authored many influential research papers in all areas of quantitative finance, and is an associate editor of the Journal of Computational Finance. Vladimir V. Piterbarg is a Managing Director and the Global Head of the Quantitative Analytics group at Barclays Capital, and has worked since 1997 as an interest rate quant at top investment banks. He taught at the University of Chicago Mathematical Finance program for a number of years, and is a prolific and respected researcher in the area of interest rate modeling. He won Risk Magazine's 2006 Quant of the Year Award, and holds a PhD in Mathematics (Probability Theory) from the University of Southern California. He serves as an associate editor of the Journal of Computational Finance.

From the Back Cover

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance.

Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based numerical methods for contingent claims pricing. In addition, Volume I introduces local-stochastic volatility models and discusses their applications in the valuation of vanilla securities on individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.

"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

From the Inside Flap

"Andersen and Piterbarg's book is a collection of high quality material that is both very broad and very deep. It covers the model theory from the basic to the very advanced, numerical methods in great detail, and on the product side everything from vanilla swaps to long dated Libor exotics. Thorny, but highly relevant, issues such as risk report computation are also treated in detail. Highly recommended and a must in the quant library.''

Jesper Andreasen, Head of Quantitative Research, Danske Markets, Copenhagen

"Andersen and Piterbarg have hit a home run with this comprehensive treatment of interest rate modeling. The authors bring their world-renowned knowledge and years of industry experience to this important area of quantitative finance. This book is a must-read for students, researchers and practitioners --- it is destined to become a classic in the field.''

Mark Broadie, Carson Family Professor of Business, Graduate School of Business, Columbia University

Edition details

• Publisher: Atlantic Financial Press
• Publication date: 2010
• Language: English
• ISBN 10: 0984422102
• ISBN 13: 9780984422104
• Binding: Hardcover
• Number of pages: 492