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Interest Rate Modeling. Volume 2: Term Structure Models Hardcover – 17 Aug 2010


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Interest Rate Modeling. Volume 2: Term Structure Models + Interest Rate Modeling. Volume 1: Foundations and Vanilla Models + Interest Rate Modeling. Volume 3: Products and Risk Management
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More About the Author

Vladimir V. Piterbarg is a Managing Director and the Global Head of the Quantitative Analytics group at Barclays Capital, and has worked since 1997 as an interest rate quant at top investment banks. He taught at the University of Chicago Mathematical Finance program for a number of years, and is a prolific and respected researcher in the area of interest rate modeling. He won two Risk Magazine's Quant of the Year Awards (2006 and 2011), and holds a PhD in Mathematics (Probability Theory) from the University of Southern California. He serves as an associate editor of the Journal of Computational Finance and the Journal of Investment Strategies.

Together with Leif B.G. Andersen, Vladimir V. Piterbarg is the author of the authoritative, 1,200 page long, three-volume set of books "Interest Rate Modeling". Full details of the monograph are available at www.andersen-piterbarg-book.com

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Amazon.com: 3 reviews
The prime reference on Interest rate derivatives 16 April 2014
By T. K. Hin - Published on Amazon.com
Format: Hardcover
All 3 volumes are highly recommended. There is cohesion as one goes through the chapters and as one implements the models ie PDE framework, analytic approximations to cap/swaptions under the LMM framework etc.., the subtle issues/problems that could occur are naturally addressed by the author as it surfaces, which is surprising.
For those who are not content with using black boxes, but want to build their own pricing models without the tedium of shifting through the vast literature, these 3 volumes are indeed a god-send.
For those who just want to capture the gist of IR models without the subtleties of implementation, these books are still very relevant.
1 of 2 people found the following review helpful
The best practical guide on interest rates derivatives modeling 28 May 2011
By Marat Kramin - Published on Amazon.com
Format: Hardcover Verified Purchase
I really find "Interest Rate Modeling" by Leif Andersen and Vladimir Piterbarg not only the best practical guide on interest rates derivatives modeling but also one of the best books on quantitative finance, in general. It is no wonder that many quants supporting asset classes other than interest rates derivatives bought this book as well. It is not only rigorous to ensure good understanding and giving the big picture but also very practical showing what would work in practice and what not, and how (using what tools) it can be achieved. Other books sometimes go on describing in details models that no one would ever use in practice just for the sake of completeness, or never discuss implementation details, which are the most important if the model is to be applied in practice (not mentioning curves building, Greeks and Risk Management). I am sure that every trading desk has already got a few copies of this book for reference: before it was a sharp need for a comprehensive interest rate derivatives book in practice like that. It is comprehensive because it methodologically covers all the components for successful understanding, development, and application of interest rates modeling in practice: mathematical and financial background (with tractable proofs and very useful references), the detailed description of traded interest rate derivatives, various practically applicable models (from basic to the most sophisticated) and numerical methods in a very systematic and consistent approach. I really recommend this book to everyone interested in quantitative finance: equally to academics (including students in financial engineering, mathematical finance etc) and practitioners.
3 of 7 people found the following review helpful
Current State-of-The Art in Mathematical Finance 14 Sept. 2010
By Mircea Marinescu - Published on Amazon.com
Format: Hardcover Verified Purchase
This advanced text provides a comprehensive account of the current state-of-the art of financial mathematics with direct application in the field of Interest Rates modeling.

The book is accessible to both practitioners of mathematical finance as well as researchers in the field.

Written with an exceptional commitment to clarity (a well familiar style for the authors) the book reaches well beyond the Interest Rates modeling into the realm of applied mathematical finance for today financial engineering.

The book covers an extremely large spectrum of topics, ranging from simple to very advance: from PDE and MC to path-wise differentiations and payoff smoothing, from basic stochastic calculus and copula theory to Longstaff-Schwartz and Markovian projection, from local volatility to QGM and LMM, from vanilla products to callable exotics, from PV calculation techniques to hedging strategies and risk management, etc.

Many of the technical solutions presented in this book can easily be applied to other mathematical finance fields (Equity, FX, Commodity, etc.).

In my opinion this is the best book of the year in mathematical finance and with certainty it is one of the great literature resources in the field, a "must have" for any quant.

Although Amazon sales separately each volume (it may be handy when you need to replace one of the volumes that you had lent to a good friend) the book has a strong cohesion and I think it is meant to be study as one unit. I strongly encourage you to consider buying all tree volumes Interest Rate Modeling. Volume 1: Foundations and Vanilla Models, Interest Rate Modeling. Volume 2: Term Structure Models, Interest Rate Modeling. Volume 3: Products and Risk Management.
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