Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

by Leif B.G. Andersen, Vladimir V. Piterbarg

Table of contents for all three volumes (full details at andersen-piterbarg-book.com)

Volume I. Foundations and Vanilla Models

      Part I. Foundations
      Part II. Vanilla Models
Volume II. Term Structure Models

      Part III. Term Structure Models
Volume III. Products and Risk Management

      Part IV. Products
      Part V. Risk management
      Appendix

Genres: Finance

492 pages, Hardcover

First published February 6, 2010

Reviews

[Antoine Savine · Rating 5 out of 5]

The unsurpassed bible of financial modeling

[Jan Bos · Rating 3 out of 5]

Incredibly comprehensive book on all fixed income modelling issues.