Interest Rate Modeling. Volume 2: Term Structure Models - ISBN:0984422110

Interest Rate Modeling. Volume 2: Term Structure Models

Date: 12 April 2011, 06:16

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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 IIVolume 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
* Markovian Projection

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