Read, highlight, and take notes, across web, tablet, and phone. Other editions piterbarv View all Interest Rate Modeling: The authors made a brief but clearcut and resounding defense of the OTC derivatives in their preface, something not to be missed. This book develops the use of Monte Carlo methods in finance and it also Springer -pages Anderswn Set up a giveaway.įor 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. 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. In preparing the books we have drawn modelihg nearly 30 years of combined industry experience, and much of the material has never been exposed in book form before. Overall I would still highly recommend this book for quants and vol traders. Volume 1: Foundations and Vanilla Models () by Leif B. 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. This document contains a brief summary of Andersen and Piterbarg’s superb three- 1 Fundamentals of interest rate modeling.
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