Implementing interest rate models - books / papers

obenhuber · March 10th, 2008, 11:10 am

Hello,Do you have some book/paper recommendations where a practical implementation of various interest rate models is done (including the concrete market data used and the concrete calculations ) ?Best,Christoph

Yura · March 10th, 2008, 1:02 pm

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit by Damiano Brigo, Fabio Mercurio This is my favorite book. It's always on the night stand next to my bed.

TraderJoe · March 10th, 2008, 10:43 pm

QuoteOriginally posted by: YuraInterest Rate Models - Theory and Practice: With Smile, Inflation and Credit by Damiano Brigo, Fabio Mercurio This is my favorite book. It's always on the night stand next to my bed.Quite the book indeed!

qhedge · March 11th, 2008, 7:43 am

QuoteOriginally posted by: YuraInterest Rate Models - Theory and Practice: With Smile, Inflation and Credit by Damiano Brigo, Fabio Mercurio This is my favorite book. It's always on the night stand next to my bed.Call it a bible in some respect.

Y0da · March 11th, 2008, 11:07 am

Hell yeah. Listen to the previous three guys. That is indeed the bible.

horacioaliaga · March 11th, 2008, 4:01 pm

www.javaquant.netThere are several implementations there together with source code, books and papers

jaguaracer · March 11th, 2008, 11:10 pm

Clewlow and Strickland also have some good examples related to interest rate derivatives. with some great start-to-finish examples.Very practical and a good assistant to Brigo and Mercurio