The three volumes of Interest Rate Modeling present a comprehensive and up-to- date treatment of techniques and models used in the pricing and risk. “The three volumes of Interest Rate Modeling present a comprehensive and up-to -date treatment of techniques and models used in the pricing and risk. : Interest Rate Modeling. Volume 1: Foundations and Vanilla Models () by Leif B. G. Andersen; Vladimir V. Piterbarg and a great.

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Please try your request again later. Piterbarg is a Managing Director and the Global Head of the Quantitative Analytics group at Barclays Capital, and has worked since 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. Together with Leif B. Piterbarg is the author of the authoritative, 1, page long, three-volume set of books “Interest Rate Modeling”.


Full details of the monograph are available at www.

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Interest Rate Modeling – Leif B. G. Andersen, Vladimir V. Piterbarg – Google Books

Foundations and Vanilla Models Feb 06, AndersenVladimir V. Only 8 left pkterbarg stock more on the way. Term Structure Models Aug 17, Only 7 left in stock more on the way.

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Andersen L.B.G., Piterbarg V.V. Interest Rate Modeling (Volumes 1, 2, 3)

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