SERVING THE QUANTITATIVE FINANCE COMMUNITY

  • 1
  • 2
  • 3
  • 4
  • 5
  • 17
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 7:53 am

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
 
User avatar
rsneevas
Posts: 138
Joined: July 14th, 2002, 3:00 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 9:45 am

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.
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 10:42 am

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.
 
User avatar
rsneevas
Posts: 138
Joined: July 14th, 2002, 3:00 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 11:06 am

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.
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 1:24 pm

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.
 
User avatar
Cuchulainn
Posts: 61574
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 1:37 pm

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?
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 1:44 pm

that'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 :-)
 
User avatar
Cuchulainn
Posts: 61574
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 1:51 pm

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,
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget
 
User avatar
quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 10th, 2009, 5:42 pm

nice.will there be downloadable sample codes? any specific coverage of mortgage loans in FI section?
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 11th, 2009, 7:25 am

no, there are no plans to have software code or cover mortgage markets
 
User avatar
Cuchulainn
Posts: 61574
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 11th, 2009, 8:08 am

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.
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 11th, 2009, 8:32 am

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)
 
User avatar
Cuchulainn
Posts: 61574
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 11th, 2009, 8:35 am

Sounds very good.
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget
 
User avatar
quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 11th, 2009, 12:57 pm

QuoteOriginally posted by: piterbargno, there are no plans to have software codethat's too bad. this would have been a great differentiator from other books on IR modeling.
 
User avatar
piterbarg
Topic Author
Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 12th, 2009, 11:12 am

I don't think you learn by reading other people's code -- you learn by writing your own
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On