Abstract. This document contains a brief summary of Andersen and Piterbarg’s superb three- 1 Fundamentals of interest rate modeling. 6. : Interest Rate Modeling. Volume 1: Foundations and Vanilla Models () by Leif B. G. Andersen; Vladimir V. Piterbarg and a great. Download Citation on ResearchGate | On Jun 1, , Rico von Wyss and others published Leif B. G. Andersen and Vladimir V. Piterbarg: Interest Rate.

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Sun, 04 Sep 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.

In the summer of we decided to organize some of our papers on interest rate modeling together into a short book. Five years and pages later we ended up with probably the most comprehensive and up-to-date three-volume set that we still refer to as “the book” on the subject.

It covers all topics in interest rate modeling and focuses on modern approaches from a practical yet rigorous point of view, reflecting the combined 30 years of industry quant experience of the authors. Foundations and Vanilla Models.

Interest Rate Modeling by Andersen and Piterbarg – MoneyScience’s blog – MoneyScience

Products and Risk Management. Discussion about the book over at Wilmott. Written by modeilng 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. In their comprehensive book, two of the most accomplished financial engineers in the world freely share their insights in this field with the readers.


Andersen L.B.G., Piterbarg V.V. Interest Rate Modeling (Volumes 1, 2, 3)

This is a must for experts and novices alike. It covers the model theory from the basic to the very advanced, numerical methods in great detail, and on modelin 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.

Leif Andersen and Vladimir Piterbarg are to be congratulated intrest 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. The book will be a valuable resource for both trading rooms and academic researchers. Rotman School of Management, University of Toronto.

EconPapers: Leif B. G. Andersen and Vladimir V. Piterbarg: 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.

Now, more than 30 years later, the arena of interest rate derivatives has its own APT: In the complex and highly liquid interest rate derivatives market, the requirements for model accuracy omdeling 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. Saturday 10th of September, The Finance Department and the Mathematical Finance Program of the Questrom School of Business, together with the Hariri Institute for Computing at Boston University are pleased to announce a one-day conference on recent advances in financial econometrics. The focus of the conference lies on the identification of new risks from financial data.

Thursday 7th of June, Monday 1st of June, Priest professor of finance and former Monday 24th of August, Education All Topics Contribute. About MoneyScience Who are we? MoneyScience’s blog MoneyScience’s connections’ blogs Moddeling site blogs.

Piterbarg “Andersen and Piterbarg have done what others have not modeliny to try: Foundations and Vanilla Models Volume 2: Term Structure Models Volume 3: Rotman School of Management, University of Toronto “Andersen and Piterbarg have hit a home run with this comprehensive treatment of interest rate modeling.