While there are many good introductory books on fixed income derivatives on the market, when we hire people who have read them we find that they still require significant training before they become productive members of our quantitative research teams. Many of these requirements are, as it turns out, extremely challenging, and not only demand a strong knowledge of actual market practices (which tend to deviate in significant ways from ``textbook' theory), but also require application of a large arsenal of techniques from applied mathematics, chiefly approximation methods and numerical techniques. In the implementation phase, not only does one need to translate abstract ideas into computer code, one also needs to ensure that the resulting numbers being produced are meaningful to a trading desk, are stable and robust, are in line with market observations, and are produced in a timely manner. While specification of the theoretical model may be seen as the difficult part, in quantitative finance applications the second step is technically and intellectually often more challenging than the first. 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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