Fixed income beyond Hull

Schnorbitz · January 22nd, 2008, 8:51 am

Hi all,Can any one please advise on which book is the best for interest rate derivatives specially exotics and short rate models for someone who has read Hull. Thanks.

Y0da · January 22nd, 2008, 12:14 pm

Interest Rate Models Theory and Practice byBrigo and Mercurio is one great book. One of the mostadvanced ones out there. Requires some knowledgeof stochastic calculus though.

WilmottBookshop · January 22nd, 2008, 12:32 pm

This book is instock at the Wilmott Bookshop. Interest Rate Models

gc · January 22nd, 2008, 5:13 pm

Definitively Brigo&Mercurio is a must have for the exotics.I also found useful some parts of Rebonato's "Interest Rate Models". It's a bit old now (you won't find the latest models), but some descriptions (and criticisms) on short term models are interesting and quite unique. Maybe worth to browse it in a bookshop first, to see if it contains the kind of info that you need (I think it's very good to understand the models, but not very good to learn how to create and implement them).

Schnorbitz · January 23rd, 2008, 6:53 am

Thanks very much! Your comments were very helpful.. further backed up with good online reviews.I have come across a book by the name of "The Volatility Surface: A Practitioner's Guide (Wiley Finance)" paired up with Brigo and Mercurio. How do you feel about this book.Price at Wilmott is remarkably lower than the one quoted at an online bookstore! (is there a trick! ) I m ordering Brigo.. waiting for your comments on the other. Cheers.

skphang · January 25th, 2008, 1:43 pm

For volatility, you might like to look at Rebonato's Volatility and CorrelationJim Gatheral's book on the volatility surface is (I think) an extension of his lecture notes at Courant Institute

WilmottBookshop · January 25th, 2008, 1:49 pm

Volatility and Correlation is available from the Wilmott Bookshop.

Schnorbitz · August 4th, 2008, 10:57 am

Hi,I saw the contents of Interest Rate Models Theory and Practice byBrigo and Mercurio. I am wondering if there are any numerical worked out examples in addition to theoretical results.

mit · August 4th, 2008, 11:36 pm

Bruce's Fixed income sec is always a good basic book to have

J · August 5th, 2008, 3:50 am

QuoteOriginally posted by: mitBruce's Fixed income sec is always a good basic book to haveIn credit derivatives which books are similar to Bruice's writing style?