Re: [問題] 請問想了解BGM MODEL有哪些資料或書可 …
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者damir (Probabilist)時間20年前 (2005/02/05 22:43)推噓1(1推 0噓 0→)留言1則, 1人參與討論串1/3 (看更多)
Book
Two of my favorites:
Musiela & Rutkowski "Martingale Methods in Financial Modeling" 2nd edition
Rebonato "Modern Pricing of Interest Rate Derivatives"
M&R is a standard reference on market rate models with extensive bibliography.
Rebonato is more of a personal account on this topic.
Paper
Find those names on internet
Musiela, Rutkowski, Rebonato, Joshi, d'Aspremont, and V. Piterbarg.
SOME of them can be downloaded from :
http://www.ssrn.com
http://www.quarchome.org/
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