SERVING THE QUANTITATIVE FINANCE COMMUNITY

  • 1
  • 5
  • 6
  • 7
  • 8
  • 9
  • 17
 
User avatar
WilmottBookshop
Posts: 1083
Joined: August 1st, 2002, 2:40 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

August 31st, 2010, 7:14 am

The bookshop does ship worldwide, credit/debit cards would be charged in GBP which will vary in conversion depending on your card provider. Today's rate makes the 3 vol. set $308.73USD or $107.04USD for a single volume plus delivery which is via DHL to ensure safe, quick delivery. If you would like it shipped by different method, please do contact the bookshop.
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 1st, 2010, 3:45 pm

QuoteOriginally posted by: piterbargQuoteOriginally posted by: HansiHow self-contained is each volume given that I need to buy a book on term structures but the chapter on the basics of IR modelling and yield curve constructions is in volume 1?The volumes are not particularly self-contained, but a student can buy vol.1 and ten, if required, work his way trough vol2 and 3. For experienced readers who only want to learn about term structure models vol2 is appropriate, provided he knows enough of yield curve construction and vanilla models to understand back referencesOkay great, thanks.
 
User avatar
rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 5th, 2010, 1:20 pm

Ordered via Amazon.com and it shipped. Will arrive on Wed. Total cost with shipping was about $320 USD ($99 per book, free shipping, plus taxes). To bad there is no boxed set. Cheers,Ram
 
User avatar
rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 8th, 2010, 3:35 pm

Well, I got my books...Looks sweet so far..Great job. Now to expense it out :-) Wish I had a box sleeve for the books though...
Last edited by rmeenaks on September 7th, 2010, 10:00 pm, edited 1 time in total.
 
User avatar
padmage
Posts: 6
Joined: February 18th, 2009, 2:07 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 14th, 2010, 4:27 pm

Hi,Ordered via Barnes & Noble in the USA. There is a generic 20% off the list price plus I used a couple of 15% off coupons & a 20% off coupon (M7Y4A3M, N7Y9U9J & X3K4T7B) in addition to the B&N master card discount. The total for all three volumes including taxes & shipping was $199.Hope this is useful information for other buyers from USA.Cheers,Nat
 
User avatar
rmeenaks
Posts: 186
Joined: May 1st, 2006, 2:31 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 14th, 2010, 6:45 pm

Grrrr...Oh well, at least I don't have to pay for it ;-)Ram
 
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 14th, 2010, 7:23 pm

spare a thought for poor online retailers who sell expensive books at a loss....
 
User avatar
quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 14th, 2010, 8:44 pm

so, any reviews yet? how does it compare to similar volumes?
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 15th, 2010, 7:32 am

My set was delayed :/QuoteInterest Rate Modeling Vol 1 to 3Unfortunately the books are running a little late from the printers and stock is now expected Friday 17th / Monday 20th September. I am very sorry for the unexpected delay.Oh well will hopefully get them next week, not really in a rush. Will post a mini-review when I've had a few hours with the books.
 
User avatar
pimpel
Posts: 363
Joined: May 12th, 2006, 5:26 pm
Location: Warsaw

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 18th, 2010, 8:14 pm

I had a short delay, got it yesterday and whole saturday spent with the lecture. It was worth waiting and the money spent at Wilmott bookshop. I am interested in one of the references:S. Traven "Pricing linear derivatives with a single discounting curve" Barclays Capital working paper, 2008. Is it only internal working paper, or is it possible to buy/download it?
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 21st, 2010, 12:48 am

I got my books on Friday but didn't have much time to go through them. I looked at the first volume and would like to comment that it's definitely not a newbie book but quite good to pick up and go through for me as a beginner/junior in the field given that I have the background required which is basically the FE/FM standard curriculum. Some of the notation is not quite what I've become used to from generic quant papers but it's not a big issue with the inclusion of the commonly used notations section, but I would have preferred it as a pull out. Maybe I'll just jot it up on A4 and print it out. Although maybe a bit expensive for students I hope the books become common reading material for FE/FM courses because they are very clearly written and the structure of the content is really good, definitely something that I felt was missing during my studies.@Vladimir: In chapter 14 there is a mention that the chapter provides a series of extension to the LMM in order to better capture observed volatility smiles. Any thoughts on the differences of your suggested model in comparison with the SABR/LMM promoted by Rebonato, McKay and White given that I have not had time to read through the chapter? (if you have ever looked into it that is)
Last edited by Hansi on September 20th, 2010, 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 25th, 2010, 8:04 pm

HiThank you for your comments. I have added a pdf of common notations to the downloads area of the book website ( here), hopefully it will be useful to you and othersas for my opinion of LMM/SABR, do not really look to start a religious war here, but my own view of LMM/SABR is rather negative as I see numerous drawbacks, e.g.1. Having a separate stochastic vol per Libor rate seems to imply that simulated shapes of yield curves would be quite weird (i.e. jagged and non-smooth)2. SABR formula does not match SABR Monte Carlo to any reasonably level of accuracy ; why not a big problem for interpolating smiles for vanillas, becomes a huge problem if you are really trying to calibrate an LMM model that is MC-based3. The accuracy of approximation formulas for swaptions looks like 5-7 years behind the corresponding formulas for LMM with (Heston) stoch vol (and this is not even considering the MC issue)If anybody disagrees feel free to start a new thread about it :-) For the record we spend precisely zero time on LMM/SABR in our book and if this is what you fancy, you should _NOT_ buy our bookSpeaking of buying -- Wilmott bookshop always has a good stash on hand, so they probably have the fastest turnaround time in the UK. Amazon.co.uk lists about 7-11 days delay. Unlike in the UK, Printing on demand seems much faster in the US where Amazon.com is doing a brisk trade and can turn around your order within a couple of days, judging by people's comments. Some initial reviews are also starting to appear on Amazon.com Vladimir
Last edited by piterbarg on September 24th, 2010, 10:00 pm, edited 1 time in total.
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

September 26th, 2010, 12:42 pm

QuoteOriginally posted by: piterbargHiThank you for your comments. I have added a pdf of common notations to the downloads area of the book website ( here), hopefully it will be useful to you and othersThanks for that, truncated it to two pages and printed on single duplex page and keep it with the books.
 
User avatar
tula
Posts: 46
Joined: December 1st, 2007, 10:35 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

October 6th, 2010, 9:10 pm

QuoteOriginally posted by: pimpelI am interested in one of the references:S. Traven "Pricing linear derivatives with a single discounting curve" Barclays Capital working paper, 2008. Is it only internal working paper, or is it possible to buy/download it?I'd love to take a look as well if it's public
 
User avatar
piterdias
Posts: 59
Joined: July 14th, 2002, 3:00 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

October 8th, 2010, 4:04 pm

QuoteWell, the book is not quite ready -- but we are getting closeI don't get. Amazon is already delivering the books. Is that version just a draft?
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