※ 引述《damir (Probabilist)》之铭言： : 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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