Description
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
- 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
- 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
Read moreDetails
Looking to enhance your knowledge of interest rate modeling? Look no further! Introducing "Interest Rate Modeling. Volume 3: Products and Risk Management", a comprehensive book that will take your understanding of the subject to new heights.
With a detailed table of contents spanning three volumes, this book covers a wide range of topics. Volume I lays the foundation by introducing you to arbitrage pricing theory, finite difference methods, and Monte Carlo methods. It also covers the fundamentals of interest rate modeling and fixed income instruments. In Volume II, you'll dive into term structure models, including one-factor and multi-factor short rate models. The Quasi-Gaussian model with local and stochastic volatility is also examined, as well as the Libor Market Model. Finally, in Volume III, you'll explore various interest rate derivatives, risk management strategies, and out-of-model adjustments.
Why should you invest in this book? Firstly, it provides you with a comprehensive overview of interest rate modeling, making it a valuable resource for students and professionals alike. Secondly, it covers a wide range of topics, ensuring that all aspects of the subject are explored. Lastly, it is written by experts Andersen and Piterbarg, renowned authorities in the field, ensuring that you are learning from the best.
Don't miss out on the opportunity to enrich your understanding of interest rate modeling. Get your hands on "Interest Rate Modeling. Volume 3: Products and Risk Management" today and take your knowledge to new heights!
Ready to dive into the world of interest rate modeling? Order your copy of "Interest Rate Modeling. Volume 3: Products and Risk Management" now by visiting andersen-piterbarg-book.com and start your journey towards becoming an expert in the field.
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