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Reference book for interest rates modeling?

Joined
6/12/17
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17
Points
13
Hi,
I've been told to prepare for the technical aspect of the interview, with emphasis on topics like risk-free pricing, risk-neutral pricing, swaptions, etc. I've also been told to refer to books like Andersen and Piterbarg, Brigo Mercurio to learn these topics from.

I'm searching for some reference book that starts from fundamentals that explains basic concepts and only then becomes advanced, helps me build an intuition, and gets into interest rates modeling from thereon.
 
Baxter & Rennie is I think the best intro book; it's not too rigorous (I find the rigor of Shreve to be more distracting than useful in an intro book, though I'm sure many here would disagree with me) and it is short (unlike Hull, which tries to cover way more products-wise). After B&R you should be able to approach A&P (though if you don't have anyone to tell you which parts you should read first, it's still a bit heavy as it's a bit of a reference book).
 
I just realized that a lot of these topics are covered in the CFA L2 L3. Does anyone think that using the CFA books to study these topics would be a good idea, rather than using these reference books?
 
U need to read that book by lixin wu and another by Nicholas privault. Both are excellent for breakin into the Ir world. I don’t understand why this bank is even calling you when you don’t have knowledge in this area.
 
U need to read that book by lixin wu and another by Nicholas privault. Both are excellent for breakin into the Ir world. I don’t understand why this bank is even calling you when you don’t have knowledge in this area.
this... these two books are usually enough for most jobs
 
I'm reading Brigo and Mercurio right now. How much overlap is there between books? Say with other ones mentioned here like Andersen & Piterbarg, Wu, Privault, etc. Are they mostly different perspectives on the same material or do they present mostly different material?
if you understand those books...ur fine. U should be aiming at implementing the models in these books. Not just reading them.
 
I'm reading Brigo and Mercurio right now. How much overlap is there between books? Say with other ones mentioned here like Andersen & Piterbarg, Wu, Privault, etc. Are they mostly different perspectives on the same material or do they present mostly different material?
a nice C++ implementation using decomposition methods (like my Mont Carlo design). Just an idea.
 
a nice C++ implementation using decomposition methods (like my Mont Carlo design). Just an idea.
I was actually just thinking that. The final project from the advanced course pretty much allows ultra fast implementation of any one factor model. Perhaps the next step is upgrading the framework to accept two factor models and also calculate implied volatility with confidence interval and maybe risks as well
 
I was actually just thinking that. The final project from the advanced course pretty much allows ultra fast implementation of any one factor model. Perhaps the next step is upgrading the framework to accept two factor models and also calculate implied volatility with confidence interval and maybe risks as well
Super idea. The inter-component function signatures will be different but the overall structure will remain the same. You can always contact me if you have questions. Good luck :) It would be a nice achievement as well as a reference design for many other 2-factior problems.

I would avoid too much inheritance (CRTP is good) and use black box interfaces std::function. The data flow all the way from input to output will get you there.

Try not to embed hard-coded 2-factor knowledge in classes. Avoid using tuples to create/hold/pack/unpack run-time data, it's shlow.
 

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I'm reading Brigo and Mercurio right now. How much overlap is there between books? Say with other ones mentioned here like Andersen & Piterbarg, Wu, Privault, etc. Are they mostly different perspectives on the same material or do they present mostly different material?
Razvan,
I suppose A&P take PDE/FDM models? That could also be a nice project instead of/as well as MC? Just an idea.
I can help there as I have a bunch of FD schemes for these kinds of problems.
Anyways, I leave to you and your TAs.

@APalley
@GONG CHEN
 
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