作者damir (Probabilist)
看板CFAiafeFSA
标题Re: [问题] 请问想了解BGM MODEL有哪些资料或书可 …
时间Sat Feb 5 23:06:22 2005
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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