Andersen and Piterbarg have done what others have not dared to try: a massively comprehensive treatise on fixed-income modeling. They take us from the basement to the penthouse, stopping at every floor for a careful tour of the mathematical foundations and numerical methods behind all major modeling approaches, from classical to cutting edge. The rigor and comprehensiveness of this reference work are exceptional. [more]
Darrell Duffie, Dean Witter Distinguished Professor of Finance,
Graduate School of Business, Stanford University
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Welcome
This is a companion website to the book "Interest Rate Modeling" (in three volumes) by Leif B.G. Andersen and Vladimir V. Piterbarg that has recently been published by Atlantic Financial Press.
The book covers everything from fundamentals of arbitrage-free pricing and advanced numerical methods to yield curve construction and detailed description of classic and modern short-rate and forward Libor models. The book discusses details of valuation and appropriate model choices for most interest rate products from simple CMS to Bermudan swaptions and callable Libor exotics. A large part is dedicated to various topics in risk management including getting stable and smooth Greeks for interest rate derivatives.
Latest status:
[2011-05-07] Second printing fixing various typos is now available from Amazon.com or any other reputable online retailer. |
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