Interest Rate Modeling. Volume 2: Term Structure Models

Table of contents for all three volumes (full details at andersen-piterbarg-book.com)

Volume I. Foundations and Vanilla Models

Part I. Foundations
Introduction to Arbitrage Pricing Theory Finite Difference Methods Monte Carlo Methods Fundamentals of Interest Rate Modelling Fixed Income Instruments Part II. Vanilla Models
Yield Curve Construction and Risk Management Vanilla Models with Local Volatility Vanilla Models with Stochastic Volatility I Vanilla Models with Stochastic Volatility II Volume II. Term Structure Models

Part III. Term Structure Models
One-Factor Short Rate Models I One-Factor Short Rate Models II Multi-Factor Short Rate Models The Quasi-Gaussian Model with Local and Stochastic Volatility The Libor Market Model I The Libor Market Model II Volume III. Products and Risk Management

Part IV. Products
Single-Rate Vanilla Derivatives Multi-Rate Vanilla Derivatives Callable Libor Exotics Bermudan Swaptions TARNs, Volatility Swaps, and Other Derivatives Out-of-Model Adjustments Part V. Risk management
Fundamentals of Risk Management Payoff Smoothing and Related Methods Pathwise Differentiation Importance Sampling and Control Variates Vegas in Libor Market Models Appendix
Markovian Projection