Interest Rate Modeling. Volume 3: Products and Risk Management - Hardcover

Andersen, Leif B G; Piterbarg, Vladimir V

Hardcover

ISBN 10: 0984422129 ISBN 13: 9780984422128

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 III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations.

"This is the indispensable book on fixed-income for quants and academics. Written by two of the sharpest mathematical minds in the industry, the theoretical presentation is precise, the scope is comprehensive, and the implementation details reflect the authors' ample experience.''

Steven E. Shreve, Orion Hoch Professor of Mathematics, Carnegie Mellon University

From the Inside Flap

"Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics. In their comprehensive book, two of the most accomplished financial engineers in the world freely share their insights in this field with the readers. This is a must for experts and novices alike. A major accomplishment!"

Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch, and Visiting Professor, Imperial College

"The authors bring a matchless combination of theoretical and practical expertise to these volumes. The result is a masterwork: truly insightful, inexhaustible in rigor, and terrifyingly complete in scope. The completeness of a rates modeler's library can be judged simply by whether it contains these books."

Tom Hyer, Head of Quantitative Analytics, UBS

Edition details

• Publisher: Atlantic Financial Press
• Publication date: 2010
• Language: English
• ISBN 10: 0984422129
• ISBN 13: 9780984422128
• Binding: Hardcover
• Number of pages: 548