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zzboy (..zzZZ)時間20年前 (2005/02/07 23:44)推噓1(1推 0噓 0→)留言1則, 1人參與討論串2/3 (看更多)
※ 引述《damir (Probabilist)》之銘言：
: 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.
I've never got used to Rebonato's lousy story-telling.
Personally I prefer the "interest Rate Models" by Brigo & Mercurio.
After finishing Rebonato's 3 books on interest rate modelling
(IRO Models, Vol & Corr, Modern Pricing), I have to say it's the work of
Brigo/Mercurio that eventually leads me to enjoy the beauty of models.
Musiela & Rutkowski's book is also amazing, but more mathematically
oriented. If you're trying to build LMM for some practical purpose,
Brigo's book will be OK.
: 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/
For more updated LMM materials, please visit the following URL:
http://www.geocities.com/anan2999/
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