What others are saying
Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University :
"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."
Steven E. Shreve, Orion Hoch Professor of Mathematics, Carnegie Mellon University
"This is the indispensible book on fixed-income for quants and academics. Written by two of the sharpest mathematical minds in the industry, the theoretical presentation is precise, the scope is comprehensive, and the implementation details reflect the authors' ample experience."
Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch, and Visiting Professor, Imperial College:
"Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics. In their comprehensive book, two of the most accomplished financial engineers in the world freely share their insights in this field with the readers. This is a must for experts and novices alike. A major accomplishment!"
Jesper Andreasen, Kwant Daddy, Danske Markets, Copenhagen:
"Andersen and Piterbarg's book is a collection of high quality material that is both very broad and very deep. It covers the model theory from the basic to the very advanced, numerical methods in great detail, and on the product side everything from vanilla swaps to long dated Libor exotics. Thorny, but highly relevant, issues such as risk report computation are also treated in detail. Highly recommeded and a must in the quant library. "
John Hull, Maple Financial Professor of Derivatives and Risk Management, Joseph L. Rotman School of Management, University of Toronto:
"The valuation of interest rate derivatives is one of the most exciting and challenging areas of mathematical finance. Leif Andersen and Vladimir Piterbarg are to be congratulated on moving our understanding of this to a new level. Their comprehensive and rigorous three-volume work takes the reader through all the stages necessary for a complete understanding of the full range of work that has been done. Everything from the construction of a “smooth” forward curve to the calibration and use of sophisticated multi-factor models is included. The book will be a valuable resource for both trading rooms and academic researchers. "
Mark Broadie, Carson Family Professor of Business, Graduate School of Business, Columbia University:
"Andersen and Piterbarg have hit a home run with this comprehensive treatment of interest rate modeling. The authors bring their world-renowned knowledge and years of industry experience to this important area of quantitative finance. This book is a must-read for students, researchers and practitioners – it is destined to become a classic in the field."
Peter Carr, Global Head of Market Modeling, Morgan Stanley and Executive Director of Masters in Math Finance Program, Courant Institute, NYU:
"In the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives. Now, more than 30 years later, the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook. In the complex and highly liquid interest rate derivatives market, the requirements for model accuracy and realism are inordinately demanding, so it is fortunate for practitioners and academics alike that two of the industry's leading practitioners have decided to share their model building experiences. Their unusual collaboration is the culmination of decades of toil, tears, sweat, and work in the trenches. I highly recommend this book for anybody interested in how interest rate models really work."
Farshid Jamshidian, Part-time Professor of Applied Mathematics, Twente University:
"This is a most comprehensive book on interest rate modeling and derivatives valuation. It treats in great detail topics of interest to both academicians and practitioners, from theoretical foundations and option pricing fundamentals, to specific models and instruments and their numerical implementation. I recommend it highly to all students and researchers."
Tom Hyer, Head of Quantitative Analytics, UBS:
"The authors bring a matchless combination of theoretical and practical expertise to these volumes. The result is a masterwork: truly insightful, inexhaustible in rigor, and terrifyingly complete in scope. The completeness of a rates modeler's library can be judged simply by whether it contains these books."
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