Hi!
As part of my Thesis project I'm currently studying the book of Brigo and Mercurio: Interest Rate Models. Their chapter on HJM Framework is well written and really understandable, but too short for my purposes.
I would like you, guys, to suggest me another good book that extensively treats this topic and that is, at the same time, mathematically rigorous.
Thanks.
As part of my Thesis project I'm currently studying the book of Brigo and Mercurio: Interest Rate Models. Their chapter on HJM Framework is well written and really understandable, but too short for my purposes.
I would like you, guys, to suggest me another good book that extensively treats this topic and that is, at the same time, mathematically rigorous.
Thanks.
