Interest Rate Modeling. Volume 2: Term Structure Models

Interest Rate Modeling. Volume 2: Term Structure Models

Table of contents for all three volumes (full details at andersen-piterbarg-book.com)<br><br>Volume I. Foundations and Vanilla Models<br><br>      Part I. Foundations <br><ul><li>Introduction to Arbitrage Pricing Theory </li><li>Finite Difference Methods</li><li>Monte Carlo Methods</li><li>Fundamentals of Interest Rate Modelling</li><li>Fixed Income Instruments</li></ul>      Part II. Vanilla Models<br><ul><li>Yield Curve Construction and Risk Management</li><li>Vanilla Models with Local Volatility</li><li>Vanilla Models with Stochastic Volatility I </li><li>Vanilla Models with Stochastic Volatility II  </li></ul>Volume II. Term Structure Models <br><br>      Part III. Term Structure Models <br><ul><li>One-Factor Short Rate Models I</li><li>One-Factor Short Rate Models II</li><li>Multi-Factor Short Rate Models</li><li>The Quasi-Gaussian Model with Local and Stochastic Volatility</li><li>The Libor Market Model I</li><li>The Libor Market Model II</li></ul>Volume III. Products and Risk Management<br><br>      Part IV. Products<br><ul><li>Single-Rate Vanilla Derivatives</li><li>Multi-Rate Vanilla Derivatives</li><li>Callable Libor Exotics</li><li>Bermudan Swaptions  </li><li>TARNs, Volatility Swaps, and Other Derivatives </li><li>Out-of-Model Adjustments </li></ul>      Part V. Risk management <br><ul><li>Fundamentals of Risk Management   </li><li>Payoff Smoothing and Related Methods  </li><li>Pathwise Differentiation  </li><li>Importance Sampling and Control Variates  </li><li>Vegas in Libor Market Models  </li></ul>      Appendix <br><ul><li>Markovian Projection  </li></ul>