- Jubilee offer: spend £10 or more on any product sold by Amazon.co.uk on or before June 6 and you can buy The Diamond Jubilee A Classical Celebration Album for just £2.50 Here's how (terms and conditions apply)
 Trade In this Item for up to £33.10
Get an extra £5 when you trade in books worth £10 or more until June 30, 2012. Trade in Interest Rate Modeling. Volume 2: Term Structure Models for an Amazon.co.uk gift card of up to £33.10, which you can then spend on millions of items across the site. Trade-in values may vary (terms apply). Find more products eligible for trade-in.
|
Special Offers and Product Promotions
Frequently Bought Together
Product details
|
More About the Author
Product Description
Product Description
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 II is dedicated to in-depth study of term structure models of interest rates. While providing a thorough analysis of classical short rate models, the primary focus of the volume is on multi-factor stochastic volatility dynamics, in the setups of both the separable HJM and Libor market models. Implementation techniques are covered in detail, as are strategies for model parameterization and calibration to market data.
Suggested Tags from Similar Products(What's this?)Be the first one to add a relevant tag (keyword that's strongly related to this product)
|
Sell a Digital Version of This Book in the Kindle Store
If you are a publisher or author and hold the digital rights to a book, you can sell a digital version of it in our Kindle Store.
Learn more
What Other Items Do Customers Buy After Viewing This Item?
Customer Reviews
There are no customer reviews yet on Amazon.co.uk.
5 star
4 star
3 star
2 star
1 star
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
2 reviews
1 of 1 people found the following review helpful
The best practical guide on interest rates derivatives modeling
28 May 2011
Format:Hardcover|Amazon 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 5 people found the following review helpful
Current State-of-The Art in Mathematical Finance
14 Sep 2010
Format:Hardcover|Amazon 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.
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.
Were these reviews helpful?
Let us know
Listmania!
Look for similar items by category
Look for similar items by subject
Feedback
- Would you like to update product info or give feedback on images?
- I am the Author, and I want to comment on my book.
- I am the Publisher, and I want to comment on this book.
|
