Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

Review The book is a collection of high quality material that is both very broad and very deep. Highly recommended and a must in the quant library. Jesper Andreasen, Head of Quantitative Research, Danske Markets, Copenhagen The authors bring their world-renowned knowledge to this important area of quantitative finance. This book is destined to become a classic. Mark Broadie, Carson Family Professor of Business, Graduate School of Business, Columbia University The authors have done what others have not dared to try: a massively comprehensive treatise on fixed-income modeling. Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University Table of contents 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 Read more...
ReadMore and Download