PDF Download Interest Rate Modeling. Volume 3: Products and Risk Management, by Leif B. G. Andersen, Vladimir V. Piterbarg
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Interest Rate Modeling. Volume 3: Products and Risk Management, by Leif B. G. Andersen, Vladimir V. Piterbarg
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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
- Yield Curve Construction and Risk Management
- Vanilla Models with Local Volatility
- Vanilla Models with Stochastic Volatility I
- Vanilla Models with Stochastic Volatility II
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
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
- Fundamentals of Risk Management
- Payoff Smoothing and Related Methods
- Pathwise Differentiation
- Importance Sampling and Control Variates
- Vegas in Libor Market Models
- Markovian Projection
- Sales Rank: #1516076 in Books
- Brand: Andersen Leif B G Piterbarg Vladimir V
- Published on: 2010-08-17
- Original language: English
- Number of items: 1
- Dimensions: 9.21" h x 1.19" w x 6.14" l, 2.03 pounds
- Binding: Hardcover
- 548 pages
- Interest Rate Modeling Volume 3 Products and Risk Management
Review
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
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 Inside Flap
"Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics. In their comprehensive book, two of the most accomplished financial engineers in the world freely share their insights in this field with the readers. This is a must for experts and novices alike. A major accomplishment!"
Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch, and Visiting Professor, Imperial College
"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. The completeness of a rates modeler's library can be judged simply by whether it contains these books."
Tom Hyer, Head of Quantitative Analytics, UBS
Most helpful customer reviews
3 of 3 people found the following review helpful.
aTrader
By aTrader
I have read the vol 1 and vol 3. This review is for vol 3 only. After reading vol 1 (pls refer to my review for Vol 1) I was very impressed with the theoretical coverage and numerical tips, given by the authors who are probably the best quants on the street. Having this in mind I was expecting the same excitement and detail coverage for a wide range of vol products in vol 3. Now I have briefly finished reading vol 3, I have to say my feeling of vol 3 is mixed. I love the theortical treatment very well, the mapping in chap 16, the spread options in chap 17, the different improvements of regression in chap 18, the bermudans in 19, etc. The good thing is the subject is talked in detail with proofs and some implementation tips, and it is hard to find such material in other quant books. However, I feel something is missing. Some real trade examples maybe would fill some blanks. Just how to vega hedge a perticular CLE in real life, for example? I know there is no simple answer but would love to see how the big banks are doing it. I was expecting the authors discuss the hedging strategy for various type of vol products, 1 by 1, in detail, but I was a bit disappointed. Another pity I feel is the lack of discussion of forward vol and certain 2nd-order derivative profiles for the callables. Such as negative volga for accretor callables, I think every vol trader on the street knows this is ugly, however the authors didn't talk about it. Maybe the focus of this book is mainly about pricing models but not hedging/managing a vol book. Well, there are really too many things to cover I guess so can't expect a perfect book. Overall I would still highly recommend this book for quants and vol traders.
3 of 4 people found the following review helpful.
Current State-of-The Art in Mathematical Finance
By Mircea Marinescu
This advanced text provides a comprehensive account of the current state-of-the art of financial mathematics with direct application in the field of Interest Rates modeling.
The book is accessible to both practitioners of mathematical finance as well as researchers in the field.
Written with an exceptional commitment to clarity (a well familiar style for the authors) the book reaches well beyond the Interest Rates modeling into the realm of applied mathematical finance for today financial engineering.
The book covers an extremely large spectrum of topics, ranging from simple to very advance: from PDE and MC to path-wise differentiations and payoff smoothing, from basic stochastic calculus and copula theory to Longstaff-Schwartz and Markovian projection, from local volatility to QGM and LMM, from vanilla products to callable exotics, from PV calculation techniques to hedging strategies and risk management, etc.
Many of the technical solutions presented in this book can easily be applied to other mathematical finance fields (Equity, FX, Commodity, etc.).
In my opinion this is the best book of the year in mathematical finance and with certainty it is one of the great literature resources in the field, a "must have" for any quant.
Although Amazon sales separately each volume (it may be handy when you need to replace one of the volumes that you had lent to a good friend) the book has a strong cohesion and I think it is meant to be study as one unit. I strongly encourage you to consider buying all tree volumes Interest Rate Modeling. Volume 1: Foundations and Vanilla Models, Interest Rate Modeling. Volume 2: Term Structure Models, Interest Rate Modeling. Volume 3: Products and Risk Management.
0 of 1 people found the following review helpful.
The best practical guide on interest rates derivatives modeling
By Marat Kramin
I really find "Interest Rate Modeling" by Leif Andersen and Vladimir Piterbarg not only the best practical guide on interest rates derivatives modeling but also one of the best books on quantitative finance, in general. It is no wonder that many quants supporting asset classes other than interest rates derivatives bought this book as well. It is not only rigorous to ensure good understanding and giving the big picture but also very practical showing what would work in practice and what not, and how (using what tools) it can be achieved. Other books sometimes go on describing in details models that no one would ever use in practice just for the sake of completeness, or never discuss implementation details, which are the most important if the model is to be applied in practice (not mentioning curves building, Greeks and Risk Management). I am sure that every trading desk has already got a few copies of this book for reference: before it was a sharp need for a comprehensive interest rate derivatives book in practice like that. It is comprehensive because it methodologically covers all the components for successful understanding, development, and application of interest rates modeling in practice: mathematical and financial background (with tractable proofs and very useful references), the detailed description of traded interest rate derivatives, various practically applicable models (from basic to the most sophisticated) and numerical methods in a very systematic and consistent approach. I really recommend this book to everyone interested in quantitative finance: equally to academics (including students in financial engineering, mathematical finance etc) and practitioners.
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