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- 2010905508 contributor B12083473.
- 2010905508 contributor B12083474.
- 2010905508 created "c2010.".
- 2010905508 date "2010".
- 2010905508 date "c2010.".
- 2010905508 dateCopyrighted "c2010.".
- 2010905508 description "Includes bibliographical references and indexes.".
- 2010905508 description "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.".
- 2010905508 extent "3 v. (1154 p.) :".
- 2010905508 identifier "0984422102 (v.1)".
- 2010905508 identifier "0984422110 (v.2)".
- 2010905508 identifier "0984422129 (v.3)".
- 2010905508 identifier "9780984422104 (v.1)".
- 2010905508 identifier "9780984422111 (v.2)".
- 2010905508 identifier "9780984422128 (v.3)".
- 2010905508 issued "2010".
- 2010905508 issued "c2010.".
- 2010905508 language "eng".
- 2010905508 publisher "London ; New York : Atlantic Financial Press,".
- 2010905508 subject "HG6024.5 .A53 2010".
- 2010905508 subject "Interest rate futures Mathematical models.".
- 2010905508 subject "Interest rates Mathematical models.".
- 2010905508 tableOfContents "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.".
- 2010905508 title "Interest rate modeling / Leif B.G. Andersen and Vladimir V. Piterbarg.".
- 2010905508 type "text".