Interest Rate Modeling. Volume 1: Foundations and Vanilla 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 

• Interest Rate Modeling. Volume 2: Term Structure Models
• Interest Rate Modeling. Volume 3: Products and Risk Management
• Advances in Financial Machine Learning
• Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
• Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps
• Foreign Exchange Option Pricing: A Practitioner's Guide
• Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)
• The Volatility Smile (Wiley Finance)
• Volatility and Correlation: The Perfect Hedger and the Fox
• Interest Rate Swaps and Other Derivatives (Columbia Business School Publishing)