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Interest Rate Modeling. Volume 3: Products and Risk Management Hardcover – 17 Aug 2010

5.0 out of 5 stars 1 customer review

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Frequently bought together

  • Interest Rate Modeling. Volume 3: Products and Risk Management
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  • Interest Rate Modeling. Volume 2: Term Structure Models
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  • Interest Rate Modeling. Volume 1: Foundations and Vanilla Models
Total price: £207.00
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Product details

  • 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)
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Top Customer Reviews

Format: Hardcover Verified Purchase
This three volume set of books are the best books I have ever seen on interest rate modelling. Were there a chapter on Markov functional modelling, then they would be the only books anyone would need on the subject.
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Most Helpful Customer Reviews on Amazon.com (beta) (May include reviews from Early Reviewer Rewards Program)

Amazon.com: 4.7 out of 5 stars 3 reviews
3 of 3 people found the following review helpful
4.0 out of 5 stars aTrader 19 Jan. 2011
By aTrader - Published on Amazon.com
Format: Hardcover Verified Purchase
I have read the vol 1 and vol 3. This review is for vol 3 only. After reading vol 1 (pls refer to my review for Vol 1) I was very impressed with the theoretical coverage and numerical tips, given by the authors who are probably the best quants on the street. Having this in mind I was expecting the same excitement and detail coverage for a wide range of vol products in vol 3. Now I have briefly finished reading vol 3, I have to say my feeling of vol 3 is mixed. I love the theortical treatment very well, the mapping in chap 16, the spread options in chap 17, the different improvements of regression in chap 18, the bermudans in 19, etc. The good thing is the subject is talked in detail with proofs and some implementation tips, and it is hard to find such material in other quant books. However, I feel something is missing. Some real trade examples maybe would fill some blanks. Just how to vega hedge a perticular CLE in real life, for example? I know there is no simple answer but would love to see how the big banks are doing it. I was expecting the authors discuss the hedging strategy for various type of vol products, 1 by 1, in detail, but I was a bit disappointed. Another pity I feel is the lack of discussion of forward vol and certain 2nd-order derivative profiles for the callables. Such as negative volga for accretor callables, I think every vol trader on the street knows this is ugly, however the authors didn't talk about it. Maybe the focus of this book is mainly about pricing models but not hedging/managing a vol book. Well, there are really too many things to cover I guess so can't expect a perfect book. Overall I would still highly recommend this book for quants and vol traders.
3 of 4 people found the following review helpful
5.0 out of 5 stars 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.
0 of 1 people found the following review helpful
5.0 out of 5 stars 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.
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