Average Reviews:
(More customer reviews)I really find "Interest Rate Modeling" by Leif Andersen and Vladimir Piterbarg not only the best practical guide on interest rates derivatives modeling but also one of the best books on quantitative finance, in general. It is no wonder that many quants supporting asset classes other than interest rates derivatives bought this book as well. It is not only rigorous to ensure good understanding and giving the big picture but also very practical showing what would work in practice and what not, and how (using what tools) it can be achieved. Other books sometimes go on describing in details models that no one would ever use in practice just for the sake of completeness, or never discuss implementation details, which are the most important if the model is to be applied in practice (not mentioning curves building, Greeks and Risk Management). I am sure that every trading desk has already got a few copies of this book for reference: before it was a sharp need for a comprehensive interest rate derivatives book in practice like that. It is comprehensive because it methodologically covers all the components for successful understanding, development, and application of interest rates modeling in practice: mathematical and financial background (with tractable proofs and very useful references), the detailed description of traded interest rate derivatives, various practically applicable models (from basic to the most sophisticated) and numerical methods in a very systematic and consistent approach. I really recommend this book to everyone interested in quantitative finance: equally to academics (including students in financial engineering, mathematical finance etc) and practitioners.
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