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piterbarg
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Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

March 3rd, 2015, 12:19 pm

Hiyes sorry having trouble with the web site provider. I attach the latest report. If you have types to report please pm meMany thanksVladimir
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Peniel
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Joined: April 8th, 2006, 9:46 am

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

June 1st, 2015, 1:05 pm

Vladimir,I'm contemplating the idea of buying the 3 volumes but someone told me that you were working on a new edition that would contain additional chapters on CVA, etc.Is there really a new edition coming? If so, when would it be available?
 
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piterbarg
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Posts: 458
Joined: October 29th, 2002, 6:42 pm

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

June 1st, 2015, 6:59 pm

indeed the plans have been afoot for the last couple of years to do the second edition. I have (re)written a fair amount of stuff recently but neither Leif nor I have the capacity now, and in the foreseeable future, to really get going with it. So I would not hold my breath for at least a year, maybe two. thank you for your interestVladimir
 
ghiret
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Joined: July 8th, 2016, 2:34 pm

Re: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

August 17th, 2016, 10:52 pm

I have been thinking about getting the first volume for a couple of months. 
Are there any news on a possible new edition or Is it still a couple of years away?

Thanks.
 
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Lapsilago
Posts: 259
Joined: October 15th, 2004, 7:36 am
Location: Germany

Re: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

November 30th, 2016, 8:58 pm

Hi, tried the general GSR scheme given in the book in 10.1.6. Checked the integrals carefully and tested against Mathematica. But cannot match the analytical solution... Always gives too high values... Anybody tried it out? Any typo in here?
Best Lapsi
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