HelloSome of you will know that Leif Andersen and I have been working on a book on interest rate modelling (for the last 5 years, in fact). Well, the book is not quite ready -- but we are getting close, at about 1000 pages with 100 or so to go. So in preparation we have launched a website andersen-piterbarg-book.com where you can find more information (a table of contents, a sample chapter, etc) or register for future updates. VladimirPS Thank you Paul for letting me post this
I was sceptical until I saw the contents of this book given the vast literature in this area. The coverage is amazing and quite unique. I will be eagerly waiting for this book.Will you be covering model risk and risk management of exotic IR products? Good luck with this monumental work.
Thank you Nivas for kind words. Part IV of the book is called Risk Management and is dedicated to issues around risk management of exotic IR products. The focus is very much on obtaining stable and robust risk sensitivities, but we do spend some time on general issues such as what is the risk management process, how the desk looks at it, practicalities, etc. We do not focus too much on model risk per se but throughout the book we discuss how to choose models appropriate for given products, how to calibrate them well, and how to assess the impact of such choices.
Excellent. I am interested in the model appropriateness, how relevant the model dynamics in pricing exotic instruments (forward dynamics) and risk measures. It looks like that you will be covering these as well. Also, any additional information about the real world challenges (like consideration by desk) will put things in perspective.Well, I will be buying this book. One more question (which is quite obvious): When can we expect this book?
Last edited by rsneevas on September 9th, 2009, 10:00 pm, edited 1 time in total.
We expect to finish writing it before the year end. When it will actually be available will depend on how we decide to publish it. If we self-publish -- an option we are mulling over -- it should be quick, so I would expect it to hit the shelves, so to speak, before the end of 2009 or early 2010. If we go with a traditional publisher, that would take 6 to 12 months, I would guess.
QuoteOriginally posted by: piterbargWe expect to finish writing it before the year end. When it will actually be available will depend on how we decide to publish it. If we self-publish -- an option we are mulling over -- it should be quick, so I would expect it to hit the shelves, so to speak, before the end of 2009 or early 2010. If we go with a traditional publisher, that would take 6 to 12 months, I would guess.Does end 2009 include copy editing, proof reading and camera-ready activities?
QuoteOriginally posted by: piterbargthat's the plan. most of it has been happening in parallel anyway. But, of course, as I am sure you know, these things seem to always take a lot longer than you expect :-)Indeed,
Will the authors discuss 3 factor models (e.g. FX swaptions) using PDE/FDM with all whistles and bells, i.e. boundary conditions and truncation, extreme values of rho, correlation etc. It is at that stage becomes important because readers can test the algos. Plan B is to describe the algos in excrutiating detail so that you can program it yourself.my 2 cents.
Last edited by Cuchulainn on September 10th, 2009, 10:00 pm, edited 1 time in total.
we ignore FX (focus on interest rate models) so no PRDs but we do go into an excruciating level of detail and all bells and whistles on the models we consider with an intention that people, having read the book, can write up production quality implementation. this is for both PDE and MC models (and "closed form" too, for single- and multi-rate vanilla derivatives)