My aim is to be able to read and understand almost all of the book by Brigo and Mercurio including HJM, LMM and the Local Vol models. So that I am able to implement these models on my own. My question is what background do I need to be able to do this?
I have read Rannie and Baxter as an introduction to Stochastic Calculus and am now reading the book by Shreve. Do I need to read anything else after Shreve as a preparation or will it be sufficient? I am happy to read and put in the hours, as long it helps me understand and master Brigo and Mercurio and then more advanced books on this topic as well.
Your guidance is much appreciated.