Interest Rate Modeling. Volume 1 - Foundations and Vanilla Models (Hardcover)

The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates. Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.

General

Imprint:	Atlantic Financial Press
Country of origin:	United States
Release date:	February 2010
First published:	February 2010
Authors:	Leif B.G. Andersen • Vladimir V. Piterbarg
Dimensions:	234 x 156 x 26mm (L x W x T)
Format:	Hardcover - With printed dust jacket / With dust jacket
Pages:	492
ISBN-13:	978-0-9844221-0-4
Categories:	Books > Business & Economics > Business & management > Business mathematics & systems > General Books > Science & Mathematics > Mathematics > Algebra > General Books > Science & Mathematics > Mathematics > Applied mathematics > General Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General
LSN:	0-9844221-0-2
Barcode:	9780984422104

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