In the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives. Now the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook. --Peter Carr, Global Head of Market Modeling, Morgan Stanley
This is a most comprehensive book on interest rate modeling and derivatives valuation. I recommend it highly to all students and researchers. --Farshid Jamshidian, Professor of Applied Mathematics, Twente University
Andersen and Piterbarg are to be congratulated on moving our understanding of valuation of interest rate derivatives to a new level. --John Hull, Professor of Derivatives and Risk Management, University of Toronto
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