Interest Rate Modeling, Volume 3: Products and Risk Management
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- Other > E-books
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- interest rate modeling products risk management
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- Jun 5, 2014
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- mr.finance
ABOUT THIS BOOK 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 trades. 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. TABLE OF CONTENTS Volume III. Products and Risk Management Part IV. Products Single-Rate Vanilla Derivatives Multi-Rate Vanilla Derivatives Callable Libor Exotics Bermudan 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 ABOUT THE AUTHORS Vladimir V. Piterbarg is a Managing Director and the Global Head of the Quantitative Analytics group at Barclays Capital, and has worked since 1997 as an interest rate quant at top investment banks. He taught at the University of Chicago Mathematical Finance program for a number of years, and is a prolific and respected researcher in the area of interest rate modeling. He won two Risk Magazine's Quant of the Year Awards (2006 and 2011), and holds a PhD in Mathematics (Probability Theory) from the University of Southern California. He serves as an associate editor of the Journal of Computational Finance and the Journal of Investment Strategies. Together with Leif B.G. Andersen, Vladimir V. Piterbarg is the author of the authoritative, 1,200 page long, three-volume set of books "Interest Rate Modeling". Full details of the monograph are available at www.andersen-piterbarg-book.com