000			02705cam a2200337 a 4500
999			_c103677 _d103677
001			16920904
005			20211019093823.0
008			110816s2010 enka b 001 0 eng d
010			_a 2010905508
020			_a9780984422104 (v.1)
035			_a(OCoLC)ocn700943205
040			_aCAUOI _cCAUOI _dDLC
042			_alccopycat
082			_a332.8 AND
100	1		_aAndersen, Leif B. G. & Piterbarg V Vladimir.
245	1	0	_aInterest rate modeling / _cLeif B.G. Andersen and Vladimir V. Piterbarg.
250			_a1st hardcover ed.
260			_aLondon ; _aNew York : _bAtlantic Financial Press, _cc2010.
300			_a : _bill. ; _c24 cm.
504			_aIncludes bibliographical references and indexes.
505	0		_av. 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		_a"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.
521			_aLibrary we have Vol. 1 & 3 only.
650		0	_aInterest rate futures _xMathematical models.
650		0	_aInterest rates _xMathematical models.
700	1		_aPiterbarg, Vladimir V.
906			_a7 _bcbc _ccopycat _d2 _encip _f20 _gy-gencatlg
936			_aPR 667213319
942			_2ddc _cBK