Interest rate modeling / (Record no. 103678)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02715cam a2200349 a 4500 |
| 001 - CONTROL NUMBER | |
| control field | 16920904 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190629123739.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 110816s2010 enka b 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| LC control number | 2010905508 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780984422128 (v.3) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0984422129 (v.3) |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)ocn700943205 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | CAUOI |
| Transcribing agency | CAUOI |
| Modifying agency | DLC |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | lccopycat |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG6024.5 |
| Item number | .A53 2010 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.8 AND |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Andersen, Leif B. G. |
| 245 10 - TITLE STATEMENT | |
| Title | Interest rate modeling / |
| Statement of responsibility, etc. | Leif B.G. Andersen and Vladimir V. Piterbarg. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st hardcover ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | London ; |
| -- | New York : |
| Name of publisher, distributor, etc. | Atlantic Financial Press, |
| Date of publication, distribution, etc. | c2010. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 3 v. (1154 p.) : |
| Other physical details | ill. ; |
| Dimensions | 24 cm. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references and indexes. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | v. 1. Foundations and vanilla models: Introduction to arbitrage pricing theory ; Finite difference methods ; Monte Carlo methods ; Fundamentals of interest rate modeling ; Fixed income instruments ; Yield curve construction and risk management ; Vanilla models with local volatility ; Vanilla Models with stochastic volatility I ; Vanilla models with stochastic volatility II -- v. 2. Term structure models: One-factor short rate models I ; One-factor short rate models II ; Multi-factor short rate models ; The quasi-Gaussian model ; The Libor market model I ; The Libor market model II -- v. 3. Products and risk management: Single-rate vanilla derivatives ; Multi-rate vanilla derivatives ; Callable Libor exotics ; Bermudan swaptions ; TARNs, volatility swaps, and other derivatives ; Out-of-model adjustments ; Introduction to risk management ; Payoff smoothing and related methods ; Pathwise differentiation ; Importance sampling and control variates ; Vegas in Libor market models -- Appendix: Markovian projection. |
| 520 2# - SUMMARY, ETC. | |
| Summary, etc. | "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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Interest rate futures |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Interest rates |
| General subdivision | Mathematical models. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Piterbarg, Vladimir V. |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) | |
| a | 7 |
| b | cbc |
| c | copycat |
| d | 2 |
| e | ncip |
| f | 20 |
| g | y-gencatlg |
| 936 ## - OCLC/CONSER MISCELLANEOUS DATA (OCLC); PIECE USED FOR CATALOGING (pre-AACR2) (RLIN) | |
| OCLC control number(s) of parallel record(s) (OCLC); Piece used for cataloging, PUC (RLIN) | PR 667213319 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Books |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Home library | Current library | Shelving location | Date acquired | Cost, normal purchase price | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | GSB Collection | H.T. Parekh Library | H.T. Parekh Library | 29/06/2019 | 0.00 | 332.8 AND | B2796 | 29/06/2019 | 29/06/2019 | Books |