Study note
Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit
Properties
- Type
- Books
- Status
- 想读
- Domain
- Quant
- Category
- 期权、波动率与衍生品交易
- Source
- book.douban.com
- Vault note
library/books/quant/Interest-Rate-Models---Theory-and-Practice-With-Smile,-Inflation-and-Credit-8cab6e9f00176555.md
Summary
Interest Rate Models - Theory and Practice : With Smile, Inflation and Credit 是利率模型经典教材，讨论短利率模型、HJM/LMM、微笑、通胀和信用相关产品建模。
Highlights
适合在掌握基础衍生品后进入利率和固定收益建模，是金融工程方向的重要参考。
Notes
Damiano Brigo、Fabio Mercurio；2006-8-2。
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