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Leif B G Andersen; Vladimir V Piterbarg

Leif B G Andersen; Vladimir V Piterbarg Interest Rate Modeling. Volume 3 : Products and Risk Management (Hardcover)

Leif B G Andersen; Vladimir V Piterbarg Interest Rate Modeling. Volume 3 : Products and Risk Management (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. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations. Interest Rate Modeling. Volume 3: Products and Risk Management (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 3



Publication Date

August, 2010

Assembled Product Dimensions (L x W x H)

9.21 x 6.14 x 1.19 Inches



SKU: WA15912395

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