Interest Rate Modeling. Volume 3 : Products and Risk Management

作者：LeifB.G.Andersen/VladimirV.Piterbarg

出版社：AtlanticFinancialPress

副标题：ProductsandRiskManagement

出版年：2010-8-17

页数：548

定价：GBP69.00

装帧：Hardcover

丛书：InterestRateModeling

ISBN：9780984422128

内容简介
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Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics. –Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch

The authors bring a matchless combination of theoretical and practical expertise to these volumes. The result is a masterwork: truly insightful, inexhaustible in rigor, and terrifyingly complete in scope. –Tom Hyer, Head of Quant Analytics, UBS

Written by two of the sharpest mathematical minds in the industry, the theoretical presentation is precise, the scope is comprehensive, and the implementation details reflect ample experience –Steven Shreve, Professor of Mathematics, Carnegie Mellon

作者简介
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Vladimir V. Piterbarg is a Managing Director and the Global Head of the Quantitative Analytics group at Barclays Capital, and has worked since 1997 as an interest rate quant at top investment banks. He taught at the University of Chicago Mathematical Finance program for a number of years, and is a prolific and respected researcher in the area of interest rate modeling. He won Risk Magazine's 2006 Quant of the Year Award, and holds a PhD in Mathematics (Probability Theory) from the University of Southern California. He serves as an associate editor of the Journal of Computational Finance.

Together with Leif B.G. Andersen, Vladimir V. Piterbarg is the author of the authoritative, 1,200 page long, three-volume set of books "Interest Rate Modeling". Full details of the monograph are available at www.andersen-piterbarg-book.com

目录
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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

评论 ······

a new classic !!! in interest rate modelling

not hard but very thoughtful~

not hard but very thoughtful~

a new classic !!! in interest rate modelling

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