Product Description
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
- Fundamentals of Risk Management??
- Payoff Smoothing and Related Methods?
- Pathwise Differentiation?
- Importance Sampling and Control Variates?
- Vegas in Libor Market Models?
????? Appendix
Interest Rate Modeling. Volume 3: Products and Risk Management
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