Interest Rate Modeling. Volume 3 pdf epub mobi txt 电子书下载 2025

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出版者:Atlantic Financial Press

作者:Leif B. G. Andersen

出品人:

页数:548

译者:

出版时间:2010-8-17

价格:GBP 69.00

装帧:Hardcover

isbn号码:9780984422128

丛书系列:Interest Rate Modeling

图书标签:

利率模型
金融
Quant
Finance
利率
Vladimir
V.
Textbook
利率模型
金融工程
固定收益
衍生品
量化金融
随机过程
数学金融
金融数学
风险管理
投资

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具体描述

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

作者简介

Vladimir V. Piterbarg is a Managing Director and the Global Head of the Quantitative Analytics group at Barclays Capital, and has worked since 1997 as an interest rate quant at top investment banks. He taught at the University of Chicago Mathematical Finance program for a number of years, and is a prolific and respected researcher in the area of interest rate modeling. He won Risk Magazine's 2006 Quant of the Year Award, and holds a PhD in Mathematics (Probability Theory) from the University of Southern California. He serves as an associate editor of the Journal of Computational Finance.

Together with Leif B.G. Andersen, Vladimir V. Piterbarg is the author of the authoritative, 1,200 page long, three-volume set of books "Interest Rate Modeling". Full details of the monograph are available at www.andersen-piterbarg-book.com

目录信息

Volume III. Products and Risk Management
Part IV. Products
Single-Rate Vanilla Derivatives
Multi-Rate Vanilla Derivatives
Callable Libor Exotics
Bermudan Swaptions
TARNs, Volatility Swaps, and Other Derivatives
Out-of-Model Adjustments
Part V. Risk management
Fundamentals of Risk Management
Payoff Smoothing and Related Methods
Pathwise Differentiation
Importance Sampling and Control Variates
Vegas in Libor Market Models
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