Book Suggestion for Interest Rates

[vickymaj]

Hi, can someone please suggest 1 or 2 good books for learning Interest Rate Derivatives, from Stochastic Differential process for IR curves to pricing exotic derivatives from a post 2008 Crisis standpoint. It will be great if there is something at a beginners - intermediate level.

 

[mhy]

I have Brigo and Mercurio and it's pretty technical but pretty detailed in explanations.

 

[IntoDarkness]

andersen and piterbarg

but modeling interest rate nowadays involve many innovative ideas, as the market have been breaking plenty old rules recently, e.g. multi-curve, negative interest rate, etc.

 

[vickymaj]

Thanks for the suggestions. Are the books suggested very advanced? I am looking for something at a Masters Level and not a PhD level. I am looking for some book which has these new concepts of interest rate modelling.

 

[yetanotherquant]

...to pricing exotic derivatives from a post 2008 Crisis standpoint. It will be great if there is something at a beginners - intermediate level.

Before you start with this very complicated domain, you should have a good command of "classical" (i.e. non-negative and single-curve) interest rate modeling.
That's why I would first recommend you to go thru my tutorial on LIBOR Model:
http://www.yetanotherquant.com/libor/tutorial.pdf?book_suggestion_for_ir_QuantNet
(I have attached feedback on LinkedIn to increase your motivation )

 

[vickymaj]

Before you start with this very complicated domain, you should have a good command of "classical" (i.e. non-negative and single-curve) interest rate modeling.
That's why I would first recommend you to go thru my tutorial on LIBOR Model:
http://www.yetanotherquant.com/libor/tutorial.pdf?book_suggestion_for_ir_QuantNet
(I have attached feedback on LinkedIn to increase your motivation )

Hey thanks a lot. I will surely go through this as soon as possibel

 

[Daniel Duffy]

A book that has shamefully not been recognized (maybe bad marketing) is by Jessica James and Nick Webber.

Interest Rate Modelling: Jessica James, Nick Webber: 9780471975236: Books - Amazon.ca

One of the reviewers (AL) said it was the best. And I believe him.