The three volumes of Interest Rate Modeling present a comprehensive and up-to- date treatment of techniques and models used in the pricing and risk. “The three volumes of Interest Rate Modeling present a comprehensive and up-to -date treatment of techniques and models used in the pricing and risk. : Interest Rate Modeling. Volume 1: Foundations and Vanilla Models () by Leif B. G. Andersen; Vladimir V. Piterbarg and a great.
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Piterbarg No preview available – Strengths and weaknesses inferest It explains, in detailed yet easy-to-understand terms, the Piterbarg Interest Rate Modeling: Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Interest Rate ModelingVolume 1. Amazon Renewed Refurbished products with a warranty. AndersenVladimir V.
Interest rate modeling /Leif B.G. Andersen and Vladimir V. Piterbarg. – National Library
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Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. Products and Risk Management Aug 17, Piterbarg is a Managing Director and the Global Rage of the Quantitative Analytics group at Barclays Capital, and has worked since as an interest rate quant at top investment banks. The second part of Volume I is dedicated to local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates.
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Implementation techniques are covered in detail, as are strategies for model parameterization and calibration to market data. Springer —pages ISBN: Value at Risk and Other Risk Metrics. Withoutabox Submit to Film Festivals. Amazon Second Chance Pass it on, trade it in, give it a second life.
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Andersen L.B.G., Piterbarg V.V. Interest Rate Modeling (Volumes 1, 2, 3)
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Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. Alexa Actionable Analytics for the Web. Full details of the monograph are available at www.
An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are nodelling, and piterbzrg they are used and adapted in practice.
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