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1 Interest Rate Modeling. Volume 1: Foundations and Vanilla Models By Leif B. G. Andersen, Vladimir V. Piterbarg Interest Rate Modeling. Volume 1: Foundations and Vanilla Models By Leif B. G. Andersen, Vladimir V. Piterbarg Table of contents for all three volumes (full details at andersen-piterbargbook.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
3 Interest Rate Modeling. Volume 1: Foundations and Vanilla Models By Leif B. G. Andersen, Vladimir V. Piterbarg Interest Rate Modeling. Volume 1: Foundations and Vanilla Models By Leif B. G. Andersen, Vladimir V. Piterbarg 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
5 Download and Read Free Online Interest Rate Modeling. Volume 1: Foundations and Vanilla Models By Leif B. G. Andersen, Vladimir V. Piterbarg Editorial Review Review The book is a collection of high quality material that is both very broad and very deep. Highly recommended and a must in the quant library. --Jesper Andreasen, Head of Quantitative Research, Danske Markets, Copenhagen The authors bring their world-renowned knowledge to this important area of quantitative finance. This book is destined to become a classic. --Mark Broadie, Carson Family Professor of Business, Graduate School of Business, Columbia University The authors have done what others have not dared to try: a massively comprehensive treatise on fixedincome modeling. --Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University 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 wellspecified 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.
6 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 Inside Flap "Andersen and Piterbarg's book is a collection of high quality material that is both very broad and very deep. It covers the model theory from the basic to the very advanced, numerical methods in great detail, and on the product side everything from vanilla swaps to long dated Libor exotics. Thorny, but highly relevant, issues such as risk report computation are also treated in detail. Highly recommended and a must in the quant library.'' Jesper Andreasen, Head of Quantitative Research, Danske Markets, Copenhagen "Andersen and Piterbarg have hit a home run with this comprehensive treatment of interest rate modeling. The authors bring their world-renowned knowledge and years of industry experience to this important area of quantitative finance. This book is a must-read for students, researchers and practitioners --- it is destined to become a classic in the field.'' Mark Broadie, Carson Family Professor of Business, Graduate School of Business, Columbia University Users Review From reader reviews: Glady Curry: The ability that you get from Interest Rate Modeling. Volume 1: Foundations and Vanilla Models could be the more deep you rooting the information that hide inside words the more you get serious about reading it. It doesn't mean that this book is hard to understand but Interest Rate Modeling. Volume 1: Foundations and Vanilla Models giving you excitement feeling of reading. The writer conveys their point in particular way that can be understood by anyone who read it because the author of this reserve is well-known enough. This book also makes your personal vocabulary increase well. It is therefore easy to understand then can go together with you, both in printed or e-book style are available. We recommend you for having this kind of Interest Rate Modeling. Volume 1: Foundations and Vanilla Models instantly. Rick Braden: This Interest Rate Modeling. Volume 1: Foundations and Vanilla Models are generally reliable for you who want to become a successful person, why. The main reason of this Interest Rate Modeling. Volume 1: Foundations and Vanilla Models can be on the list of great books you must have is giving you more than just simple reading food but feed you with information that possibly will shock your before knowledge. This book is actually handy, you can bring it all over the place and whenever your conditions in e-book and printed versions. Beside that this Interest Rate Modeling. Volume 1: Foundations and Vanilla Models forcing you to have an enormous of experience for instance rich vocabulary, giving you trial run of critical thinking that we all know it useful in your day exercise. So, let's have it and revel in reading.
Interest rate Derivatives There is a wide variety of interest rate options available. The most widely offered are interest rate caps and floors. Increasingly we also see swaptions offered. This note will
Note 10: Derivative Instruments Derivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity
David Li received his bachelor's degree in Mathematics from Pomona College and continued his graduate studies at Stanford University. In 2004, he received his Ph.D. degree in Mathematics before starting his career in finance with Credit Suisse. He subsequently moved to Citigroup in 2005. Throughout his career, David has worked on different areas of interest rate analytics, including yield curves, volatility skew and smile, term structure models and automated market making. Currently David is a Managing Director and Global Head of Rates Quantitative Analysis at Citigroup Global Markets.
Dr. Amir Sadr received his Ph.D. in 1990 from Cornell University with thesis work on the Foundations of Probability Theory. After working at AT&T Bell Laboratories until 1993, he started his Wall Street career at Morgan Stanley, initially as a Vice President in Quantitative Modeling and development of exotic interest rate models, and later on as an exotics trader in Derivative Product Group. He founded Panalytix, Inc. in 1997 to develop financial software for pricing and risk management of interest-rate derivatives. In 2001, he joined Greenwich Capital as a Managing Director for proprietary trading. He joined HSBC in 2005 as Senior Trader in charge of CAD exotics and USD inflation trading. In 2008, he was the COO of Brevan Howard US Asset Management in Connecticut. In 2009, he co-founded Yield Curve Trading, LLC, a fixed-income proprietary trading firm and served as its COO. He founded Panalytix Solutions in 2017, a boutique consulting firm providing services to hedge funds, family offices, and broker dealers and litigation support services to law firms. 2b1af7f3a8