Interest Rate Options Model by Rebonato

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Interest Rate Options Model by Rebonato

Postby samirranjan » Mon Dec 14, 2015 6:49 am

I would like to know what you think about this book: Interest Rate Options Model by Rebonato. I like it a lot.
What I am especially interested in knowing is if there are other books in the area of Interest Rate Modeling
that you have found better and your reasons.
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Re: Interest Rate Options Model by Rebonato

Postby mj » Thu Feb 11, 2016 10:46 am

it has some virtues but it really is a bit dated now.

I'd recommend
Cairns
Brigo Mercurio
Andersen Piterbarg
mj
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Re: Interest Rate Options Model by Rebonato

Postby samirranjan » Sat Feb 27, 2016 1:24 pm

Thanks Mike. I appreciate your response.
samirranjan
 
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Re: Interest Rate Options Model by Rebonato

Postby Chandana » Thu Aug 25, 2016 8:00 am

I find Brigo Mercurio more like a survey rather than a text book. But Cairns and Andersen Piterbarg are really good.
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