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qetuo18
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Joined: April 18th, 2018, 2:12 am

Books for Fixed Income Derivatives Valuation

August 7th, 2019, 4:27 pm

Hello, I'm looking for a book covering fixed income derivatives valuation, specifically, I'm looking for cap, floor, and cross-currency swaps valuation under real-world scenarios. Thanks in advance.
 
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staassis
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Joined: April 12th, 2014, 5:10 pm

Re: Books for Fixed Income Derivatives Valuation

March 29th, 2020, 9:57 am

The following is a classic:

Brigo, D., & Mercurio, F. (2006). Interest Rate Models - Theory and Practice.

The book is quite technical. So, depending on your background, you may need some preparatory reading. For natural prerequisites of the book as well as suggestions on how to push its ideas further, check out this financial study program (second half of the page).