Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
Andersen, Leif B G; Piterbarg, Vladimir V
Language: English
Published by Atlantic Financial Press, 2010
- Hardcover
- Used
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- Title
- Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
- Author
- Andersen, Leif B G; Piterbarg, Vladimir V
- Publisher
- Atlantic Financial Press
- Publication year
- 2010
- Condition
- Poor
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0984422102
- ISBN 13
- 9780984422104
- Item weight
- 2.05 pounds
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
- Yield Curve Construction and Risk Management
- Vanilla Models with Local Volatility
- Vanilla Models with Stochastic Volatility I
- Vanilla Models with Stochastic Volatility II
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
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
- Fundamentals of Risk Management
- Payoff Smoothing and Related Methods
- Pathwise Differentiation
- Importance Sampling and Control Variates
- Vegas in Libor Market Models
- Markovian Projection
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