Interest Rate Modeling by L. Andersen and V. Piterbarg

News feed

2010-8-26: The book is available for pre-order with the expected shipping date of September 10, 2010

2010-8-17: The book is with the printers! Should not be long now... 

2010-7-29: The book is pretty much there but tweaks can go on forever -- hence the decision to set ourselves August 15th as the final deadline. Whatever we have on that date goes into printing.

2010-7-15: Covers have been redesigned. All the chapters have been reviewed. Working on the index and bibliography. Still aiming for end of July. 

2010-7-1: Final review is progressing well, with only 100 or so pages left to go! Hopefully by the end of July we will finish. Preliminary versions of all volumes were available for viewing at the ICBI conference in May 2010. We are planning a workshop at WBS Fixed Income Conference in September 2010 in Madrid, with participants of the workshop receiving a free copy of the first volume of the book, and good discounts on all volumes for workshop and conference participants.

2010-6-15: Agreed to sell the book at the WBS Fixed Income conference in Madrid at good discount to participants of the conference, and even at better discount to workshop participants that we will run (who, in addition, will also receive the first volume for free)

2010-5-22: Preliminary versions of the book were available at the ICBI Global Derivatives conference. The content was well-received, the cover design less so.

2010-4-25: Final review of more than half the book is done. Still on target for summer release.

2010-2-28: The pace of final review had been slow due to holidays, etc. but is picking up. We have first five chapters in what we believe to be their final state. Still aiming to be done by mid summer.

2010-2-1: We have a hardcover copy of the preliminary version of Volume I, published by Atlantic Financial Press and printed by Lightning Source. It looks pretty good! And the process appears quite efficient, so we should have the printed books available within a week of having a final copy.

2010-1-16: We started our final review, chapter by chapter.

2010-1-9: Uploaded Preface to the website that you can now download here.

2009-12-29: We finished our own proofreading of chapter 28 and, hence, the whole book. Natalia is reviewing chapters 24, 25 and we are now going back to the beginning to go through the book one more time, and tie up a few loose ends.

2009-11-29: First version of the index finished. It can be downloaded here.

2009-11-15: Final version of the last chapter (Chapter 28, Markovian Projection) is written! Although much proof-reading and cleanup still left to do

2009-10-26: Updated Table of Contents is released on the web site

2009-10-25: First version of Chapter 28, Markovian Projection, is added to the project. We now have all chapters! Much proofreading remains.

2009-10-21: First clean version of Chapter 27, Vegas in Libor market models, is finished

2009-10-15: We agreed to host an IR Workshop at ICBI conference in May 2010 and are planning to have the books released by then

2009-10-10: Chapter 23, Introduction to Risk Management, is written

2009-09-15: We decided to add a new chapter 23, Introduction to Risk Management, to provide an overview of risk management process and anchor Part V (Risk Management)

2009-09-03: Currently chapters 1- 19 are finished and proof-read, chapters 20-22 are finished, chapters 23-25 are almost finished and chapters 26,27 yet to be written

2009-09-01: This website launched

2004-06-02: The book started