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Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

Posted By : tot167 | Date : 27 Feb 2011 06:43:48 | Comments : 1 |
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Leif B.G. Andersen, Vladimir V. Piterbarg, "Interest Rate Modeling. Volume 1: Foundations and Vanilla Models"
Atlantic Financial Press | 2010 | ISBN: 0984422102 | 492 pages | Djvu | 12 MB

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 fixed-income modeling. --Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University

Table of contents

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

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Posted By: avaxguy Date: 27 Feb 2011 09:39:33
GREAT BOOK.THANKS. IT WOULD BE GREAT IF YOU COULD POST ANOTHER TWO VOLUMES.