- Hardcover: 548 pages
- Publisher: Atlantic Financial Press (17 Aug. 2010)
- Language: English
- ISBN-10: 0984422129
- ISBN-13: 978-0984422128
- Product Dimensions: 15.6 x 3 x 23.4 cm
- Average Customer Review: 5.0 out of 5 stars See all reviews (1 customer review)
- Amazon Bestsellers Rank: 516,384 in Books (See Top 100 in Books)
Interest Rate Modeling. Volume 3: Products and Risk Management Hardcover – 17 Aug 2010
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Top Customer Reviews
Most Helpful Customer Reviews on Amazon.com (beta) (May include reviews from Early Reviewer Rewards Program)
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.