Interest Rate Modeling. Volume 3: Products and Risk Management

Pay with

About Interest Rate Modeling. Volume 3: Products And Risk

Product Description 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 MethodsMonte Carlo MethodsFundamentals of Interest Rate ModellingFixed Income Instruments      Part II. Vanilla ModelsYield Curve Construction and Risk ManagementVanilla Models with Local VolatilityVanilla 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 IOne-Factor Short Rate Models IIMulti-Factor Short Rate ModelsThe Quasi-Gaussian Model with Local and Stochastic VolatilityThe Libor Market Model IThe Libor Market Model IIVolume III. Products and Risk Management      Part IV. ProductsSingle-Rate Vanilla DerivativesMulti-Rate Vanilla DerivativesCallable Libor ExoticsBermudan 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  Review Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics. --Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill LynchThe 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. --Tom Hyer, Head of Quant Analytics, UBSWritten by two of the sharpest mathematical minds in the industry, the theoretical presentation is precise, the scope is comprehensive, and the implementation details reflect ample experience --Steven Shreve, Professor of Mathematics, Carnegie Mellon From the Author From PrefaceFor quantitative researchers working in an investment bank, the process of writing a fixed income model usually has two stages. First, a theoretical framework for yield curve dynamics is specified, using the language of mathematics (especially stochastic calculus) to ensure that the underlying model is well-specified and internally consistent. Second, in order to use the model in practice, the equations arising from the first step need to be turned into a working implementation on a computer. While specification of the theoretical model may be seen as the difficult part, in quantitative finance applications the second step is technically and intellectually often more challenging than the first. In the implementation phase, not only does one need to translate abstract ideas into computer code, one also needs to ensure that the resulting numbers being produced are meaningful to a trading desk, are stable and robust, are in line with market observations, and are produced in a timely manner. Many of these requirements are, as it turns out, extremely challenging, and not only demand a strong knowledge of actual market practices (which tend to deviate in significant ways from ``textbook'' theory), but also require application of a large arsenal of techniques from applied mathematics, chiefly approximation methods and numerical techniques. While there are many good introductory books on fixed income derivatives on the market, when we hire people who have read them we find that they still require significant training before they become productive members of our quantitative research teams. For one, while existing literature covers some aspects of the first step above, advanced approaches to specifying yield curve dynamics are typically not covered in sufficient detail. More importantly, there is simply too little said in the literature about the process of getting the theory to work in the real world of trading and risk management. An important goal of our book ser