Interest Rate Modeling. Volume 3: Products and Risk Management. Leif B.G. Andersen, Vladimir V. Piterbarg

Interest Rate Modeling. Volume 3: Products and Risk Management



Download Interest Rate Modeling. Volume 3: Products and Risk Management



Interest Rate Modeling. Volume 3: Products and Risk Management Leif B.G. Andersen, Vladimir V. Piterbarg ebook pdf
Publisher: Atlantic Financial Press
Language: English
Page: 548
ISBN: 0984422129, 9780984422128

Review

Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics. --Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch

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. --Tom Hyer, Head of Quant Analytics, UBS

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 ample experience --Steven Shreve, Professor of Mathematics, Carnegie Mellon

From the Author

From Preface

For quantitative researchers working in an investment bank, the process of writing a fixed income model usually has two stages. First, a theoretical framework for yield curve dynamics is specified, using the language of mathematics (especially stochastic calculus) to ensure that the underlying model is well-specified and internally consistent. Second, in order to use the model in practice, the equations arising from the first step need to be turned into a working implementation on a computer. While specification of the theoretical model may be seen as the difficult part, in quantitative finance applications the second step is technically and intellectually often more challenging than the first. In the implementation phase, not only does one need to translate abstract ideas into computer code, one also needs to ensure that the resulting numbers being produced are meaningful to a trading desk, are stable and robust, are in line with market observations, and are produced in a timely manner. Many of these requirements are, as it turns out, extremely challenging, and not only demand a strong knowledge of actual market practices (which tend to deviate in significant ways from ``textbook'' theory), but also require application of a large arsenal of techniques from applied mathematics, chiefly approximation methods and numerical techniques. While there are many good introductory books on fixed income derivatives on the market, when we hire people who have read them we find that they still require significant training before they become productive members of our quantitative research teams. For one, while existing literature covers some aspects of the first step above, advanced approaches to specifying yield curve dynamics are typically not covered in sufficient detail. More importantly, there is simply too little said in the literature about the process of getting the theory to work in the real world of trading and risk management. An important goal of our book series is to close these gaps in the literature.

The three volumes of Interest Rate Modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods. In preparing the books we have drawn on nearly 30 years of combined industry experience, and much of the material has never been exposed in book form before.

We owe a great debt of gratitude to our families for their support and patience, even when our initial plans for a brief book on tips and tricks for working quants ballooned into something more ambitious that consumed many evenings and weekends over the last six years.



MORE EBOOKS:
Download Models for modalities: Selected essays pdf







Tags: Interest Rate Modeling. Volume 3: Products and Risk Management ebook pdf djvu epub
Interest Rate Modeling. Volume 3: Products and Risk Management download pdf epub djvu
Download Interest Rate Modeling. Volume 3: Products and Risk Management free ebook pdf
Read Interest Rate Modeling. Volume 3: Products and Risk Management online book
Interest Rate Modeling. Volume 3: Products and Risk Management cheap ebook for kindle and nook
Interest Rate Modeling. Volume 3: Products and Risk Management download book
Leif B.G. Andersen, Vladimir V. Piterbarg ebooks
Interest Rate Modeling. Volume 3: Products and Risk Management download pdf rapidshare mediafire fileserve 4shared torrent