Interest Rate Modeling. Volume 2: Term Structure Models - Leif B G Andersen - Kirjat - Atlantic Financial Press - 9780984422111 - tiistai 17. elokuuta 2010
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Interest Rate Modeling. Volume 2: Term Structure Models

Leif B G Andersen

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Interest Rate Modeling. Volume 2: Term Structure Models

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 

376 pages, black & white illustrations

Media Kirjat     Hardcover Book   (Sidottu kirja kovilla kansilla sekä suojakannella)
Julkaisupäivämäärä tiistai 17. elokuuta 2010
ISBN13 9780984422111
Tuottaja Atlantic Financial Press
Sivujen määrä 376
Mitta 160 × 245 × 15 mm   ·   746 g
Kieli English