-1
$\begingroup$

I recently graduated with a MS degree in Quantitative Finance and will presumably have some work to do with Interest Rate Derivatives (IRD) in the future. Since my experience lies more in the equity market, I only have a basic understanding of IRD products such as swaps and swaptions, and interest rate models like Hull-White and Vasicek. So, I'm eager to deepen my knowledge of IRD from a practical aspect, starting from the structuring/selecting products to hedge specific risks, to calibrating against term-structures and pricing.

Unlike some exotic products, IRD in general has a lot of (expensive) books talking about it, and I'm wondering if you have any recommendations for standout books or resources (i.e. public courses/blogs) that really helped you dive into this field?

Any insights and suggestions are also very much appreciated!

Improve this question
$\endgroup$
1

1 Answer 1

Reset to default
0
$\begingroup$

I was told the Bible on IRD and related topics is Interest Rate Models - Theory and Practice, with Smile, Inflation and Credit by Fabio Mercurio and Damiano Brigo from here https://link.springer.com/book/10.1007/978-3-540-34604-3

Improve this answer
$\endgroup$

Not the answer you're looking for? Browse other questions tagged or ask your own question.