:: Collaborations ::

:: General Finance and Investment ::

Interest Rate Models: Theory and Practice

Brigo and Mercurio

Springer Verlag

This book is highly recommended for quants in general, be they involved in pricing/modelling, or quantitative risk management, and also for financial engineers. It goes deep into interest rate theory without losing insight of practical aspects : calibration and fitting smiles. The latest development in interest rate derivatives research is well exposed.

Brigo and Mercurio succeeded in giving the reader clear exposés on sophisticated derivatives without annoying the reader interested in concrete financial problems. A rare book which gives flavour to mathematical finance. This book is also recommended for advanced graduates who would like to see how sophisticated maths can be applied to real and concrete financial problems.

Not really a beginner's book, but can be used as a reference book along with Wilmott's Derivatives, Kennedy and Hunt's Financial Derivatives in theory and practice.

Reviewed by Jean Claude Razafindrakoto. Click here to buy this book at Amazon.co.uk.

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