Andersen Piterbarg Interest Rate Modeling Pdf To Word
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. Be used for long-term equity options, or for “not too complicated” equity–interest rate Suggest changing to 'fairly simple'? Came with the local volatility (Andersen and Andreasen (2000)) and stochastic volatil- ity extensions. And where ˛.t/ is a (chosen) deterministic function that controls the level of the Word added – OK?
I'm looking for something that might be considered the 'Bible' of fixed income.
Ideally it would contain everything from the basics of PV and discounting cash flows all the way up to some of the most complicated instruments, such as cross-currency basis swaps, although I understand that this may have to cover two books, such as 'An Intro to Fixed Income' and 'Further Fixed Income', or 'Advanced Fixed Income'.
Thanks.
4 Answers
$begingroup$If I were to recommend one, it would be:
- Bruce Tuckman's Fixed Income Securities. This is by far my absolute favorite. It is extremely well written and discusses complex concepts in very easy-to-understand terms. Tuckman is both an academic and a practitioner (Salmon/Credit Suisse/Lehman/Barclays), so the book takes great care in addressing many real-life considerations of fixed income trading/investing that other books either gloss over or ignore. The book is also filled with excellent trading examples. (I should mention that I prefer the 2nd edition to the 3rd edition, which in my mind has a more logical organization of the material, although you'd miss out on modern topics such as multi-curve construction. I also recommend that you search around for research notes Tuckman wrote at Lehman, which are timeless master pieces for thinking about different concepts/strategies.) (Disclosure: I don't know the guy, but I clearly admire his intellect.)
Tuckman's book is more or less oriented toward undergrads/MBAs/practitioners, so it does not rigorously address topics that require a lot of stochastic calculus. For a more rigorous (and yet not esoteric) treatment, my favorite is
- Pietro Veronesi's Fixed Income Securities: Valuation, Risk, and Management. This is another masterfully written book that blends theory and practice very well. It covers everything you'd expect, from discounted cash flows to interest rate modeling in continuous time. It is also very practitioner friendly, with step-by-step guides to implementing all the models. This title strikes a perfect balance between mathematical rigor and accessibility, and is used by many MFE programs from what I heard.
Other references:
- Siddhartha Jha's Interest Rate Markets: A Practical Approach to Fixed Income is an excellent reference for fixed income strategy, written by a trader/strategist. It uses very little math, but discusses many real-life trading strategies. You can learn a lot of ideas not usually covered in mainstream textbooks.
- Damiano Brigo and Fabio Merccurio's Interest Rate Models is, for a long time, the bible for fixed income quants. It provides detailed coverage of many interest rate models and their implementations. In my mind, it is almost certainly not a title for beginners, but it's an invaluable reference for those in quantitative roles.
- Leif B. G. Andersen and Vladimir V. Piterbarg's Interest Rate Modeling, which comes in three volumes, represents the state of the art and is widely considered the new bible(s). Like Brigo & Merccurio, these are best treated as reference books rather than textbooks.
- Depending on which track you go down, there are also 'bibles' for specific areas of fixed income. For example, 'The Treasury Bond Basis' is the bible for bond futures traders; 'Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities' is the definitive guide to the MBS market, etc.
The Fixed-Income bible is definitely this one:
Damiano Brigo, Fabio Mercurio. Interest Rate Models - Theory and Practice
It is a 1,007-pager covering a large range of topics including:
Andersen Piterbarg Interest Rate Modeling Pdf To Word Calculator
- Basic definitions and no-arbitrage pricing
- Short rate models
- Market models
- Volatility smile for fixed income instruments
- Exotic payoffs
- Inflation and credit-linked instruments
$begingroup$@JejeBelfort 's answer suggests a good book if you are interested in the stochastic modelling side of the fixed income world. I also really liked Musiela and Rutowski's 'Martingale Methods in Financial Modelling' for this. Though not purely focussed on fixed income it has 5 chapters devoted to the topic. One thing that I liked about it is that it is relatively self-contained and requires only the basics of stochastic analysis.
Both of these books are relatively technical though and don't cover things like present value and discounted cash-flows, which you are asking for in your question. I would thus suggest you have a look at Sundaresan's 'Fixed Income Markets and Their Derivatives'. This book starts from zero and covers a wide range of fixed income products as well as the institutional settings. It is often used as a one-semester textbook for an advanced undergrad course.
LocalVolatilityLocalVolatilityPrior to starting on a high yield trading desk, I was asked not to show up until I read and internalized 'Inside the Yield Book.' I now understand why. It is not prescriptive as most texts on the subject, rather it helps to build intuition from the ground up.