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rate model
Hi,I have to start to work on interest rate derivatives, I would like to know if someone can advice some reference to start on it. I would like to get a pratitioner point of view. Why should I use a 1-factor, 2-factor, hull or HJM or BGM.If someone could give some clues
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- ZmeiGorynych
- Posts: 6
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rate model
Ask your boss? It's in his interest that you know what is optimal for the specific derivatives you'll be doing.
rate model
I suggest you buy the book of Brigo & Mercurio. It describes the most relevant models and their pro's and cons, also from a practical viewpoint.