As the question states, what are some relevant recent papers I, as a non-expert, should read on IR modelling, products, and mechanics (that do not involve AI/ML)?

I think my knowledge on this topic has not progressed much beyond Piterbarg's Funding beyond discounting (probably still an important paper?) and Boenkost & Schmidt's Cross currency swap valuation. So I have a lot of catching up to do.

My aim is not to become an expert on IR/FI overnight, but simply to not be completely ignorant of the latest developments.

Just to illustrate what I mean, for example the paper by Lyashenko and Mercurio, Looking Forward to Backward Looking Rates seems very relevant, but is it one of the most important in the last 5 yrs? Guidance here would be appreciated.

As there isn't really a right or wrong answer to the question I'd probably hesitate to give an 'accepted' answer if there are multiple answers, but I'll of course give good answers +1.

  • 1
    $\begingroup$ @Alper Not really. I could of course search online and spend quite a lot of time deciding which are really important, but I am hoping that there are experts here that can guide me as I am not an IR expert. $\endgroup$
    – Frido
    Apr 4 at 21:57
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    $\begingroup$ Oh come on...here we go again. The question is a duplicate? Please explain where the duplicate question is and why it is duplicate. $\endgroup$
    – Frido
    Apr 4 at 22:04
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    $\begingroup$ I agree this is not a duplicate. There is value in a knowledgeable person filtering and ranking the fire hose of papers on this subject. $\endgroup$
    – Bob Jansen
    Apr 5 at 5:38
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    $\begingroup$ Opinion based rather than a duplicate. $\endgroup$
    – Hasek
    Apr 5 at 10:35
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    $\begingroup$ For what it's worth, I agree with @Frido. I have only become recently active in this community again, but based on a few cases that I observed I also got the subjective impression that questions occasionally get closed for a very narrow interpretation of "opinion-based". $\endgroup$ Apr 5 at 11:02


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