Interest Rate Modeling by L. Andersen and V. Piterbarg
 About the authors



 Leif B.G. Andersen is a Managing Director and a co-head of Quantitative Group at Bank of America Merrill Lynch. You can see his profile here.

 Vladimir V. Piterbarg is a Managing Director and the head of Quantitative Analytics at Barclays Capital. You can see his profile here.