Advice on transitioning from Baxter/Rennie to Andersen Piterbarg for Rates Derivatives Modeling

Qwer Ty

New Member
So I am a Rates derivatives quant at a BB's Quant Research team. I am supposed to be thorough with the ideas related to interest rates modeling. I'm currently reading Baxter Rennie which is a really good book.

Next I need to pick up Andersen piterbarg, mainly chapter 4 and 5. But the jump from Baxter to Andersen seems too huge, in the sense that Andersen is a bit too complex.

Can you recommend what I could do to transition smoothly between these books? Andersen is considered as a bible in rates modeling, but is there some other book that would help me after Baxter Rennie, after which I could pick up Andersen? Or is there some other advice you would give?

Thanks
 
Andersen & Piterbarg is probably the best introduction to rates modelling (though calling it a bible is bit of a stretch), but it is self contained, so no "transition" should be necessary. It can perhaps be a bit challenging to appreciate the presented ideas given the order: The modelling of actual financial products only starts in volume 3. So if you're already in the industry, I would probably suggest you to start with volume 3 and then refer back to previous volumes as needed (very early on in the last volume it goes through CMS, which ties together a lot of the ideas presented in the book).
 

Qwer Ty

New Member
Andersen & Piterbarg is probably the best introduction to rates modelling (though calling it a bible is bit of a stretch), but it is self contained, so no "transition" should be necessary. It can perhaps be a bit challenging to appreciate the presented ideas given the order: The modelling of actual financial products only starts in volume 3. So if you're already in the industry, I would probably suggest you to start with volume 3 and then refer back to previous volumes as needed (very early on in the last volume it goes through CMS, which ties together a lot of the ideas presented in the book).
Okay, I didnt know that, but I think its helpful to know that modeling of products is focused in Vol 3. Thanks for the advice.
 
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