Interest rate modeling from scratch

kimkc · January 15th, 2004, 11:28 pm

Dear all:Can you suggest good refereces(books and article) for beginners about implementation of popuar interest rate models?

tabris · January 16th, 2004, 12:02 am

When I was a newbie to Interest Rate Modeling, I learned most of the popular models from the John Hull book "Options, Futures and Other Derivatives". Fairly decent explanation for someone new. After some experience or if you need more information on certain models, there are plenty of research papers/term structure modeling books out there.As far as modeling them in excel vba, Mary Jackson and Mike Staunton's "Advanced modelling in finance using Excel and VBA" have good examples of the Black-Derman-Toy, Vasicek and CIR models.

exotiq · January 16th, 2004, 1:23 pm

Brigo & Mercurio and Rebonatto are both good books, discussed in the book forum. They are more model and less implementation detail, which I personally prefer...

Darrell1977 · January 18th, 2004, 6:52 pm

I think Antoon Pelsser's book is a good place to start. It's short and well written. Reading it is a good way to get acquainted with what models there are etc. without going as much into detail as Rebonato & Brigo,Mercurio. i would read them afterwards.

kimkc · January 19th, 2004, 9:03 am

Thanks for your reply. If you are more interested in implementation than theories, what do you suggest?

StanleyC · February 16th, 2004, 2:23 pm

I think Tomas Bjork 1998 Arbitrage Theory in Continuous Time is good for beginner.

mucki · February 18th, 2004, 11:33 am

For implementation try Clewlow and Strickland: Implementing Derivatives Models