Interest Rate Models: Theory and Practice D. Brigo, F. Mercurio

wolf0564 · Post by **wolf0564** » Fri Oct 01, 2004 2:59 pm

anyone seen this book?

http://www.amazon.co.uk/exec/obidos/ASIN/3540417729/ref=pd_ir_b/026-0310678-4734814

chiral3 · Post by **chiral3** » Fri Oct 01, 2004 3:04 pm

Seen it??? This is one of the standard texts. I have this one, others have Rebanato, but I think many believe this to be the best. It is a very well written book.

LongTheta · Post by **LongTheta** » Fri Oct 01, 2004 3:11 pm

From the parts that I've read (the first few chapters), this is a very good book. Very hands-on. Very concrete. It basically serves different purpose from Rebonato's books.

A while ago, there was a rumour that a 2nd edition was in the making. Apparently that project has been abandoned.

dadeto · Post by **dadeto** » Fri Oct 01, 2004 3:17 pm

It is more on the theory than the practice side though (at least from a point of view of an equity person). I aggree, it is very well written.

There is a new Rebonato book, has anyone seen it?

EDIT: Ha-ha! LT, I see we aggree!!!

chiral3 · Post by **chiral3** » Fri Oct 01, 2004 4:01 pm

The sheer number of models covered is large. My only complaint, and maybe this isn't a complaint but an aesthetic gripe, is the notation (that is in many areas of finance) where the independent variables are overwhelming. An example that is in this book is

PH(X, P, Yel, BRO; T, t, t', LS)

Seeing that in an integrand is annoying and there is a

Johnny · Post by **Johnny** » Fri Oct 01, 2004 4:02 pm

[i]Seeing that in an integrand is annoying and there is a[/i]

... bad habit of leaving sentences unfinished? Big Smile

wolf0564 · Post by **wolf0564** » Fri Oct 01, 2004 4:03 pm

Chiral, I am also "more of an equity person". so no, havent' [b]seen[/b] the book but considering buying it. thanks for the comments, sounds like i should

wolf0564 · Post by **wolf0564** » Fri Oct 01, 2004 4:04 pm

dadeto, so you coming to nonius bash?

AndyM · Post by **AndyM** » Fri Oct 01, 2004 4:17 pm

Wolf, I don't think that as an equity guy you will get very much out of B&M. Its pretty concrete and good on model implementation, but doesn't have much intuition. I suspect you would get much more value out of some of Rebonato's stuff.

wolf0564 · Post by **wolf0564** » Fri Oct 01, 2004 4:23 pm

thanks AndyM, at htis stage it's the intuiton im after, so perhaps worth looking up both (or sticking to equity!)