Interest Rate Modeling. Volume 3: Products and Risk Management

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Автор: Leif B.G. Andersen

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

Издательство: Atlantic Financial Press

Год: 2010

Кол-во страниц: 548

Формат: Pdf

Размер: 10 MB

Язык: Английский

Volume I. Foundations and Vanilla Models

Part I. Foundations

* Introduction to Arbitrage Pricing Theory

* Finite Difference Methods

* Monte Carlo Methods

* Fundamentals of Interest Rate Modelling

* Fixed Income Instruments

Part II. Vanilla Models

* Yield Curve Construction and Risk Management

* Vanilla Models with Local Volatility

* Vanilla Models with Stochastic Volatility I

* Vanilla Models with Stochastic Volatility II Volume II. Term Structure Models

Part III. Term Structure Models

* One-Factor Short Rate Models I

* One-Factor Short Rate Models II

* Multi-Factor Short Rate Models

* The Quasi-Gaussian Model with Local and Stochastic Volatility

* The Libor Market Model I

* The Libor Market Model IIVolume III. Products and Risk Management

Part IV. Products