Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance): With Smile, Inflation and Credit (Springer Finance)

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Binding: Hardcover Dewey Decimal Number: 332.82015118 EAN: 9783540221494 ISBN: 3540221492 Label: Springer Number Of Items: 1 Number Of Pages: 981 Publication Date: 2006-08-04 Publisher: Springer Studio: Springer
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Spotlight customer reviews: Customer Rating: Summary: Good book if you've got past Baxter and Rennie Comment: This is a good overview of some of the more complex interest rate models, however it does assume familiatrity with the fundamental theorem of finance and hence why martingales are important. It assumes the reader knows all about filtration, probability spaces and changes of measure (Radon Nikodym derivatives and the change of measure theorem). If you are not already familiar with all this then the book will not be helpful to you - read something more basic like Financial Calculus (Baxter and Rennie). Aside to the technical content, I find many of the quotes at the beginning of each chapter (usually from DC comics) pointless and sometimes irritating. Customer Rating: Summary: A must for quant Comment: Good reference for the available interest rate model, especially for the pricing of some complex interest rate derivatives. A must for IRD Quants.

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