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


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: 
[2013-02-29] Third printing fixing various typos is now available from  or any other reputable online retailer.

More news here.

Explore the menu to the left to find out more  about the book or its authors, see table of contents or a sample chapter, download errata, and much more. In particular, you can read what those who have seen the book are saying.

And you can read some trivia