interest rate

Interest Rate Swaps and Their Derivatives: A Practitioner's Guide (Wiley Finance)
$85.00
The book is excellent with good balance of math and conceptual common sense. The book shows me the framework for instrument pricing via replication. With it, I can theoretically price any derivatives in the world which is quite powerful idea. A great book for people who want to learn pricing wide ranges of derivative products.

Interest Rate, Term Structure, and Valuation Modeling
$89.95
I was pleasantly surprised by the clarity of the writing by most of the authors in this book. As its title suggests, this book has a solid discussion of interest rate models, term structure, and different valuation models for interest rates. After reading this book, you should become familiar with the various interest rate models, such as Cox-Ingersoll-Ross and Health-Jarrow-Morton. The book goes through many topics (e.g., modeling, yield curves, term structure, valuation, path dependency, etc.) with sufficient depth and it provides many examples that are relatively easy to follow.

In addition, the discussion of interest rate factor models is also interesting, and I like the part where they relate some of the factor models for interest rates to their counterparts in equities (as factor models for equities are much more common, e.g. APT, CAPM). Moreover, modeling of interest rates is an interesting subject, although it can get quite complex. I think this book handles it pretty well. There is a discussion of the use of the lattice method (i.e., trees) and Monte Carlo simulation. There is also an excellent discussion of the significance of mean reversion.

However, because the chapters of this book are written by different authors, there are two major issues that I find quite annoying. First, the discussion in some chapters gets repeated in other chapters, thereby wasting time and space (i.e., paper). It is highly annoying to read a discussion of interest rate models in multiple chapters, but I guess on the bright side it helps you remember the models. Second, the writing styles can vary substantially. There are some chapters that are written really well, while other chapters are just the opposite. In particular, I didn't like the chapter on Measuring the Plausibility of Interest Rate Shocks.

Interest Rate Derivatives: A Practical Guide to Applications, Pricing and Modelling
$178.00
Written in a straightforward, clearly structured manor with extensive use of worked examples, this easy to use book gives you an explanation of both basic and advanced principles for the valuation of interest rate derivatives and their hedging applications. Interest Rate Derivatives describes: ? Pricing methods, ? Application, structuring and valuation of: o Interest rate and Cross currency Swap and o Interest Options ? Methods of managing interest rate exposure and ? Trading and hedging strategies and their application in portfolio management. Basic interest rate mathematics are explored and built upon to delve into a more complex development of interest rate derivatives in general. This work is accompanied by a CD and gives you a unique stand-alone product which serves as a major reference guide on interest rate derivatives. The book itself is developed around a user-friendly excel based pricing system helping you to better understand the content by applying the theory to real life pricing. This allows you to use the book as an initial reference or learning tool to see how the maths work and leaves you with a practical calculation tool. We recommend this book for all financial and corporate treasury staff, MBA students, graduates and anyone looking for a mathematical guide to the practical pricing and modelling of interest rate derivatives.

Interest Rate Models: An Introduction
$49.95
The book assumes that you've done some stochastic analysis courses before. You need to be familiar with Girsanov's theorem (change of measure) and some PDE theories (Feynman-Kac) to better understand the materials. The book starts with the introduction of instruments in the interest rate market. Then before introducing the continuous-time models, it shows how to price interest rate derivatives/ZCB in a binomial model, the classical Ho/Lee model is also introduced. The chapter on short-rate models is good, it shows 2 different ways to price zero-coupon bonds, martingale approach and the PDE approach. The book even proves ZCB/options on ZCB under the Vasicek and CIR models (in the appendices). More recent developments such as LIBOR/HJM are also introduced.The book might be a littel bit difficult to read at the start (formal maths), however, it rewards perseverance.
P.S. the solutions to the exercises of chapters 1-5 can be found from A.Cairn's web-page.
P.S.2 note that the book does not give any details on implementing different interest rate models in practice.