Hi all,I am starting to work in interest rates and would like to learn more about interest rate curve modelling... I am currently looking into a book by Marc Henrard called Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance), but it does not have many reviews.Any suggestions where to start would be vm appreciated. N.B I am new to the industry, so probably best to start with easier books. I am happy to get recommendations for tougher books and papers too, to have a pipeline of things to read. I have relevant experience in metrics/stats/etc.Thanks a lot!

Brigo & Mercurio FTW. But to your point, it's pretty advanced. However if you have someone to coach you on it, it's really very useful. (And I have yet to find any typos, heh heh)

I like Mr. Tuckman's book on Fixed Income Securities

Brigo and Mercurio is a terrible recommendations. It's outdated, not so much topically, but as to the relevance of what is described. It's largely useless in my opinion. Really don't like that book and wasted a lot of time in there.I would second Tuckman for a market-centric buy side approach. It's excellent. A book with a very wide perspective that is in a class of its own is James and Webber. It is old, but it gives an integrated perspective on risk neutral valuation as well as empirical and econometric approaches. It's very good. Other than that Andersen and Piterbarg are very good. You can ignore the chapters on the very exotic stuff.Other than that as a rule, any time someone publishes a book on quantitative finance with an exclusively academic background and no industry experience, you can almost certainly ignore it without any loss. It goes without saying that this is the case for almost all books ever published and ever to be published. It's really that bad. Finally, intrest rate modeling isn't a hip area to go into, so take it easy. You'd do better focusing on empirical approaches to things in general.

Thanks everybody, appreciate the suggestions. Will have a flick through all of them and see which one seems the most useful.QuoteOriginally posted by: mtsmFinally, intrest rate modeling isn't a hip area to go into, so take it easy. You'd do better focusing on empirical approaches to things in general.I completely agree, but knowing a bit about it won't hurt either!Any further suggestions very much welcome, and thank you for the inputs!

Mark's book is very good, but may be quite difficult for a start. Have a look at Richard Flavel's book swaps and other derivatives. At some points it may miss current multicurve setup, but gives good introduction to various areas of IR topics. Then get back to Mark's book.Kenyon's book is good as well "Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing (Applied Quantitative Finance)", but is rather a cheat sheet worth having a look than a comprehensive description of all issues. Any IR derivatives trader should today understand some piece related to XVA, so Jon Gregory is a must for a start.Afterwards, Andersen and Piterbarg should be a right place to go to.

QuoteOriginally posted by: mtsmBrigo and Mercurio is a terrible recommendations. It's outdated, not so much topically, but as to the relevance of what is described. It's largely useless in my opinion. Really don't like that book and wasted a lot of time in there...What!? Heresy!

Agree with mtsm. Andersen and Piterbarg covers everything from basics (and not only IR) to advanced techniques (can be ignored first then used as a reference when working on the related models) while Tuckman gives a practical view similar to trader's views. Both are complementary.

QuoteOriginally posted by: OrbitQuoteOriginally posted by: mtsmBrigo and Mercurio is a terrible recommendations. It's outdated, not so much topically, but as to the relevance of what is described. It's largely useless in my opinion. Really don't like that book and wasted a lot of time in there...What!? Heresy!+1Andersen/Piterbarg isn't for newbies. Brigo/Mercurio is much more practical.

The problem is that the orthodox belief in this arena isn't worth that much. The reason being that the overwhelming majority of people composing the belief don't have particularly relevant roles in the industry where this kind of knowldege matters. My opinion on this is somewhat educated, though maybe not as much as others' opinion. It's just not a very modern and applied presentation. I think that the discussion on short-rate models is not particularly concise, synthetic or useful. Then the chapters on LMM are downright horrible, lengthy and don't correspond to the usage of the model in the industry. The products chapters aren't great either. The stuff that was added in the second edition isn't very professional. What else do you want to know? Also I don't actually believe that the authors ever worked for a proper rates franchise that was turning over any money, not to mention that I have seen very few places using LMM to run money at all.QuoteOriginally posted by: OrbitQuoteOriginally posted by: mtsmBrigo and Mercurio is a terrible recommendations. It's outdated, not so much topically, but as to the relevance of what is described. It's largely useless in my opinion. Really don't like that book and wasted a lot of time in there...What!? Heresy!

It depends what you really do. When I look around AP is only on my desk, all the other fixed income guys have BM.

QuoteOriginally posted by: GamalIt depends what you really do. When I look around AP is only on my desk, all the other fixed income guys have BM.I agree, I would wonder what these guys really do. I can't imagine that book being very useful. It's a little like these physicists displaying Landau&Lifschitz or mathematicians showing some Bourbaki volumes...

Quotemathematicians showing some Bourbaki volumes...Axioms A1 to A4?QuoteA new adventure began for Lions in the early 1960s, when he met (in spirit) another of his intellectual mentors, John von Neumann. By then, using computers built from his early designs, von Neumann was developing numerical methods for the solution of PDEs from fluid mechanics and meteorology. At a time when the French mathematical school was almost exclusively engaged in the development of the Bourbaki program, Lions---virtually alone in France---dreamed of an important future for mathematics in these new directions; he threw himself into this new work, while still continuing to produce high-level theoretical work on PDEs.

QuoteOriginally posted by: CuchulainnQuotemathematicians showing some Bourbaki volumes...Axioms A1 to A4?QuoteA new adventure began for Lions in the early 1960s, when he met (in spirit) another of his intellectual mentors, John von Neumann. By then, using computers built from his early designs, von Neumann was developing numerical methods for the solution of PDEs from fluid mechanics and meteorology. At a time when the French mathematical school was almost exclusively engaged in the development of the Bourbaki program, Lions---virtually alone in France---dreamed of an important future for mathematics in these new directions; he threw himself into this new work, while still continuing to produce high-level theoretical work on PDEs. It's not the case. BM is much more straightforward than AP. Most models and formulas in BM were already tested and implemented, so you are secure using them. To read AP you need some experience and understanding of the field, some (many) approximations may be misleading.

If you are new to Interest Rate Modeling, I suggest the following: 1) Interest Rate Models: An Introduction by Andrew J. G. Cairns, and2) Interest-Rate Option Models by Rebonato.The second one might be a little advanced. In that case, you should read the one by Caitrns first. However, it would be a good idea tolook through Rebonato and check your comfort level first and then decide.I welcome comments on these two books by others on this forum.