Second, in order to use the model in practice, the equations arising from the first step need to be turned into a working implementation on a computer. First, a theoretical framework for yield curve dynamics is specified, using the language of mathematics (especially stochastic calculus) to ensure that the underlying model is well-specified and internally consistent. I recommend it highly to all students and researchers.Farshid Jamshidian, Professor of Applied Mathematics, Twente University Andersen and Piterbarg are to be congratulated on moving our understanding of valuation of interest rate derivatives to a new level.John Hull, Professor of Derivatives and Risk Management, University of Toronto From the Author From PrefaceFor quantitative researchers working in an investment bank, the process of writing a fixed income model usually has two stages. ![]() ![]() Now the arena of interest rate derivatives has its own APT: the Andersen-Piterbarg Textbook.Peter Carr, Global Head of Market Modeling, Morgan Stanley This is a most comprehensive book on interest rate modeling and derivatives valuation. ![]() ![]() Piterbarg Type: eBook Released: 2010 Publisher: Atlantic Financial Press Page Count: 376 Format: djvu Language: English ISBN-10: ISBN-13: 111 Review In the seventies, Arbitrage Pricing Theory (APT) was invented for equity derivatives.
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