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Leif B G Andersen; Vladimir V Piterbarg

Leif B G Andersen; Vladimir V Piterbarg Interest Rate Modeling. Volume 1 : Foundations and Vanilla Models (Hardcover)

Leif B G Andersen; Vladimir V Piterbarg Interest Rate Modeling. Volume 1 : Foundations and Vanilla Models (Hardcover)

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"The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface. The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing. Interest Rate Modeling. Volume 1: Foundations and Vanilla Models (Hardcover)




Series Title

Interest Rate Modeling


Atlantic Financial Press

Book Format


Original Languages


Number of Pages



Leif B G Andersen, Vladimir V Piterbarg


Interest Rate Modeling. Volume 1



Publication Date

February, 2010

Assembled Product Dimensions (L x W x H)

9.21 x 6.14 x 1.06 Inches



SKU: WA15912582

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