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Book Suggestion for Interest Rates

Joined
8/8/13
Messages
56
Points
18
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.
 
I have Brigo and Mercurio and it's pretty technical but pretty detailed in explanations.
 
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.
 
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.
 
...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 :))
 

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