I'm trying to get through the litterature of interest rate models for some time now. As I don't have any experience working with them, I started looking for some kind of a cheat sheet that would compare the models in terms of their limitations :
- Why can't they be used to price certain instruments
- What curves they reproduce well : interest rates, volatilities etc ...
- Calibration issues : those that calibrate automatically etc ...
- Stability of parameters when calibrated ...
- Which ones are really used in the industry
Also I find it really difficult to know all of them. Is it more common that people would know two or three models well and be kind of "experts" in them?
The other thing I want to know is a list of practices and techniques that are really popular in the industry. I mean practices like CMS-Replication, Basket Pricing methods (Levy-like) etc ...
Anyone can help with links or any resources?
My purpose is really to target my readings and not be taken in interviews as someone who never worked in quantitative team
Thank you