On Fri, 15 Jun 2001 14:32:49 +0200, Jean-Claude RAZAFINDRAKOTO
<[log in to unmask]> wrote:
> Hi everybody,
>
>Has anyone ever reviewed this book on interest rate modelling ? If yes,
would you qualify it as indispensable ?
>
>
>Brigo, D., Banca IMI, Milano, Italy Mercurio, F., Banca IMI, Milano, Italy
>Interest Rate Models - Theory and Practice
>
>
>
>2001. XXXVIII, 518 pp. Hardcover
>3-540-41772-9
>
>
>Thanks all,
>
>Jean-Claude R.
>
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>
>Jean-Claude RAZAFINDRAKOTO ANDRIAMANALINA
>
>ENSAE Troisième Année sea03126 (casier 245)
>Formation Par la Recherche (FPR)
>"Processus de Lévy hyperboliques en Finance :
>évaluation et couverture d'options"
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>
>
>
>
Hi all,
I've bought the book form Mercurio and Brigo. It keeps its promises to deal
rigourously with theory as well with practice. A book to put on your shelf
if you are new to quantitative analysis in interest rate modelling. Of
course, it is optimal to combine it with (in my opinion) to Pelsser's
excellent book and Musiela and Rutkowski's brilliant manual.
Regards,
Jean-Claude
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