Interest Rate Modeling. Volume 2 : Term Structure Models

作者：LeifB.G.Andersen/VladimirV.Piterbarg

出版社：AtlanticFinancialPress

副标题：TermStructureModels

出版年：2010-8-17

页数：376

定价：GBP69.00

装帧：Hardcover

丛书：InterestRateModeling

ISBN：9780984422111

内容简介
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In the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives. Now the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook. –Peter Carr, Global Head of Market Modeling, Morgan Stanley

This is a most comprehensive book on interest rate modeling and derivatives valuation. I recommend it highly to all students and researchers. –Farshid Jamshidian, Professor of Applied Mathematics, Twente University

Andersen and Piterbarg are to be congratulated on moving our understanding of valuation of interest rate derivatives to a new level. –John Hull, Professor of Derivatives and Risk Management, University of Toronto

目录
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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

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