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Could you advice me where I can find the best mathematical description of LIBOR Market Model theory (except the references from the Link). Is there any book/article/pdf file/web page/notes which you found particluarly useful when you studed this theory?

Thanks for sharing your experiance!

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  • $\begingroup$ See the books by Shreve or Hull. They cover LIBOR modelling very well, although a simple google for either LIBOR modelling or introduction to fixed income markets should be enough. $\endgroup$ – oliversm Aug 23 '18 at 19:15
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    $\begingroup$ You may have a look of this book and this book. $\endgroup$ – Gordon Aug 24 '18 at 12:13
  • $\begingroup$ For what it's worth completely echo Gordon's recommendation on Rebonato, very well written particularly vis a vis calibration. In addition to which am a big fan of Brigo and Mercurio - a very lively text covering a vast swathe of fixed income in general which will stand you in good stead wherever your studies take you. $\endgroup$ – Mehness Aug 24 '18 at 19:07
  • $\begingroup$ Thank you for all your comments! Unfortunately, I do not have enough reputation points to give you +1... $\endgroup$ – B_B Aug 24 '18 at 20:27

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