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cprasad
Topic Author
Posts: 6
Joined: September 9th, 2016, 3:47 am

Book on interest-rate products

September 19th, 2021, 5:44 pm

I am looking for a book that has topics like FRAs, Interest rate swaps, Swaptions, Caps and Floors i.e. 
the kind of stuff covered in Chap 22 and 25 of Hull's book. This is for teaching a course involving these topics.
The treatment must be stochastic calculus based.  These topics are covered in almost all books on interest-rate modeling 
but are too scattered and  done in a way that is difficult for students to follow. On the other hand, Hull is too elementary.
I would appreciate any suggestions.