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andreloeffler
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Joined: January 18th, 2002, 1:07 pm

Multi-curve setup, IRD pricing, credit/equity hybrid modelling

February 9th, 2015, 8:28 pm

I first started with the Hull and the famous 6 pieces from Salomon to understand the yield curve. Then came the first edition of Wilmott and the famous Pat Hagan et all piece on SABR, while Rebonato on volatility and correlation was on the shelves and it did not take long for the 2nd edition of the Brigo - Mercurio to cover rate, inflation and exotics. I think I missed the two or three tomes from Pitterbarg when it got published. Some years later, I wonder what are the standard books, articles a new joiner to the rate/credit world would typically be directed to. Suggestion welcome. Tks
 
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piterbarg
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Joined: October 29th, 2002, 6:42 pm

Multi-curve setup, IRD pricing, credit/equity hybrid modelling

February 11th, 2015, 12:29 pm

The three tomes by Andersen-Piterbarg are still highly recommended!Vladimir