Interest Rate Modeling. Volume 2: Term Structure Models

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9780984422111: 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 

"Sinopsis" puede pertenecer a otra edición de este libro.

From the Author:

From Preface

For 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 series is to close these gaps in the literature.

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. In preparing the books we have drawn on nearly 30 years of combined industry experience, and much of the material has never been exposed in book form before.

We owe a great debt of gratitude to our families for their support and patience, even when our initial plans for a brief book on tips and tricks for working quants ballooned into something more ambitious that consumed many evenings and weekends over the last six years.

From the Back Cover:

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 II is dedicated to in-depth study of term structure models of interest rates. While providing a thorough analysis of classical short rate models, the primary focus of the volume is on multi-factor stochastic volatility dynamics, in the setups of both the separable HJM and Libor market models. Implementation techniques are covered in detail, as are strategies for model parameterization and calibration to market data. 

"The valuation of interest rate derivatives is one of the most exciting and challenging areas of mathematical finance. Andersen and Piterbarg are to be congratulated on moving our understanding of this to a new level. Their comprehensive and rigorous three-volume work takes the reader through all the stages necessary for a complete understanding of the full range of work that has been done. Everything from the construction of a `smooth' forward curve to the calibration and use of sophisticated multi-factor models is included. The book will be a valuable resource for both trading rooms and academic researchers.''

John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto 

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Descripción Atlantic Financial Press, United Kingdom, 2010. Hardback. Estado de conservación: New. Language: English . Brand New Book ***** Print on Demand *****.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 II is dedicated to in-depth study of term structure models of interest rates. While providing a thorough analysis of classical short rate models, the primary focus of the volume is on multi-factor stochastic volatility dynamics, in the setups of both the separable HJM and Libor market models. Implementation techniques are covered in detail, as are strategies for model parameterization and calibration to market data. Nº de ref. de la librería APC9780984422111

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Descripción Atlantic Financial Press, United Kingdom, 2010. Hardback. Estado de conservación: New. Language: English . Brand New Book ***** Print on Demand *****. 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 II is dedicated to in-depth study of term structure models of interest rates. While providing a thorough analysis of classical short rate models, the primary focus of the volume is on multi-factor stochastic volatility dynamics, in the setups of both the separable HJM and Libor market models. Implementation techniques are covered in detail, as are strategies for model parameterization and calibration to market data. Nº de ref. de la librería APC9780984422111

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