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Complimentary Publication: |  |
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All delegates will receive a complimentary copy of the 2010 publication: Interest Rate Modeling (Volume I. Foundations and Vanilla Models) by Leif B.G. Andersen and Vladimir V. Piterbarg.
In addition, all delegates qualify for a 20% discount on Volume II. (Term Structure Models) and Volume III. (Products and Risk Management).
About the publication:
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 management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging.
Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance.
Volume I provides the theoretical and computational foundations for the series, emphasizing the construction of efficient grid- and simulation-based methods for contingent claims pricing. The second part of Volume I is dedicated to yield curve construction (single and multiple curve cases), local-stochastic volatility modeling and to the construction of vanilla models for individual swap and Libor rates.
Although the focus is eventually turned toward fixed income securities, much of the material in this volume applies to generic financial markets and will be of interest to anybody working in the general area of asset pricing.
Publication Homepage
Table of Contents
Chapter Descriptions
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Interest Rate Modelling: From Solid Foundations To Advanced Models by Vladimir Piterbarg: Global Head Of Quantitative Analytics Group, Barclays Capital | |
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Building Yield Curves
- Cubic Splines
- Non-parametric methods
- Tension splines
- Basis and Multiple Projection Curves
Vanlla models for single and multi-rate derivatives
- Basics of CMS models
- Copula calculus
- Old and new copulas and fitting smiles of CMS spreads
Short rate models -- what works and what does not
- Quasi-Gaussian Models with Local and Stochastic Volatility
- Quadratic Gaussian Models
- Multi-factor short rate models
Industrial-strength Libor market models
- Classical developments
- Advanced calibration techniques
- Interpolation of rates
Interest rate exotics in Monte Carlo
- Lower and upper bounds
- Advanced regression techniques
- Greeks
Lessons from crisis: Introducing deterministic and stochastic bases in interest rate models
- Multiple discounting curves
- Multiple projection curves
- Stochastic basis in interest rate models
- Impact on derivatives valuation
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30