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 (2005/02/14 01:17)推噓0(0推 0噓 0→)留言0則, 0人參與討論串3/3 (看更多)
I agree that the way Brigo/Mercurio presented the material is much more
focused and down-to-earth than Rebonato. If you only got 48 hours for
a project on LMM implementation, you should stick to it.
Some people I acquainted with simply don't like Rebonato because of his
chatty style. But I enjoy pretty much some insights about model
calibration and possible model evolution in the future from his book.
Well, the bottom line is that it's a good bedtime reading, whatever your
purpose is.
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