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Interest Rate Modeling. Volume 2: Term Structure Models
Leif B G Andersen
Interest Rate Modeling. Volume 2: Term Structure Models
Leif B G Andersen
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 | Książki Hardcover Book (Książka z twardym grzbietem i okładką) |
Wydane | 17 sierpnia 2010 |
ISBN13 | 9780984422111 |
Wydawcy | Atlantic Financial Press |
Strony | 376 |
Wymiary | 160 × 245 × 15 mm · 746 g |
Język | English |
Zobacz wszystko od Leif B G Andersen ( np. Hardcover Book )