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Implementing interest rate models - books / papers
Posted: March 10th, 2008, 11:10 am
by obenhuber
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
Implementing interest rate models - books / papers
Posted: March 10th, 2008, 1:02 pm
by Yura
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.
Implementing interest rate models - books / papers
Posted: March 10th, 2008, 10:43 pm
by TraderJoe
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!
Implementing interest rate models - books / papers
Posted: March 11th, 2008, 7:43 am
by qhedge
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.
Implementing interest rate models - books / papers
Posted: March 11th, 2008, 11:07 am
by Y0da
Hell yeah. Listen to the previous three guys. That is indeed the bible.
Implementing interest rate models - books / papers
Posted: March 11th, 2008, 4:01 pm
by horacioaliaga
www.javaquant.netThere are several implementations there together with source code, books and papers
Implementing interest rate models - books / papers
Posted: March 11th, 2008, 11:10 pm
by jaguaracer
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