Interest Rate Modeling. Volume 3: Products and Risk Management

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9780984422128: Interest Rate Modeling. Volume 3: Products and Risk Management

Interest Rate Modeling. Volume 3 "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

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Leif B G Andersen; Vladimir V Piterbarg
Edité par Atlantic Financial Press (2010)
ISBN 10 : 0984422129 ISBN 13 : 9780984422128
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Description du livre Atlantic Financial Press, 2010. HRD. État : New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du libraire IP-9780984422128

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Leif B G Andersen; Vladimir V Piterbarg
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Description du livre Atlantic Financial Press, 2016. Paperback. État : New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. N° de réf. du libraire ria9780984422128_lsuk

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Leif B G Andersen; Vladimir V Piterbarg
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Description du livre Atlantic Financial Press, 2010. HRD. État : New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. N° de réf. du libraire IP-9780984422128

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Leif B G Andersen; Vladimir V Piterbarg
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ISBN 10 : 0984422129 ISBN 13 : 9780984422128
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Description du livre Atlantic Financial Press, 2010. Hardcover. État : New. N° de réf. du libraire INGM9780984422128

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Leif B G Andersen; Vladimir V Piterbarg
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Description du livre Atlantic Financial Press 2010-08-17, 2010. État : New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. N° de réf. du libraire NU-ING-01013981

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Leif B G Andersen; Vladimir V Piterbarg
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ISBN 10 : 0984422129 ISBN 13 : 9780984422128
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Description du livre Atlantic Financial Press, United Kingdom, 2010. Hardback. État : New. 236 x 155 mm. Language: English . Brand New Book ***** Print on Demand *****. 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 management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. 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. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations. N° de réf. du libraire APC9780984422128

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Leif B G Andersen; Vladimir V Piterbarg
Edité par Atlantic Financial Press, United Kingdom (2010)
ISBN 10 : 0984422129 ISBN 13 : 9780984422128
Neuf(s) Couverture rigide Quantité : 10
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The Book Depository
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Description du livre Atlantic Financial Press, United Kingdom, 2010. Hardback. État : New. 236 x 155 mm. Language: English . Brand New Book ***** Print on Demand *****.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 management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. 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. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations. N° de réf. du libraire APC9780984422128

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Leif B G Andersen; Vladimir V Piterbarg
Edité par Atlantic Financial Press
ISBN 10 : 0984422129 ISBN 13 : 9780984422128
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Description du livre Atlantic Financial Press. Hardcover. État : New. Hardcover. 548 pages. Dimensions: 9.3in. x 6.1in. x 1.5in.Table of contents for all three volumes (full details at andersen-piterbarg-book. com)Volume I. Foundations and Vanilla Models Part I. Foundations Introduction toArbitrage Pricing Theory Finite Difference MethodsMonte Carlo MethodsFundamentals of Interest Rate ModellingFixed Income Instruments Part II. Vanilla ModelsYield Curve Construction and Risk ManagementVanilla Models with Local VolatilityVanilla 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 IOne-Factor Short Rate Models IIMulti-Factor Short Rate ModelsThe Quasi-Gaussian Model with Local and Stochastic VolatilityThe Libor Market Model IThe Libor Market Model IIVolume III. Products and Risk Management Part IV. ProductsSingle-Rate Vanilla DerivativesMulti-Rate Vanilla DerivativesCallable Libor ExoticsBermudan 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 Appendix Markovian Projection This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. N° de réf. du libraire 9780984422128

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Leif B G Andersen; Vladimir V Piterbarg
Edité par Atlantic Financial Press (2010)
ISBN 10 : 0984422129 ISBN 13 : 9780984422128
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Description du livre Atlantic Financial Press, 2010. État : New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service!. N° de réf. du libraire ABE_book_new_0984422129

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Leif B G Andersen; Vladimir V Piterbarg
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Description du livre Atlantic Financial Press. Hardcover. État : New. 0984422129 Special order direct from the distributor. N° de réf. du libraire ING9780984422128

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