Interest Rate Models – Theory and Practice (Second Edition): With Smile, Inflation and Credit by Damiano Brigo and Fabio Mercurio is a cornerstone reference in quantitative finance and interest rate modeling.

This comprehensive volume covers both theoretical foundations and practical implementation of modern interest rate models, including LIBOR market models, volatility smiles, inflation-linked products, and credit risk. Widely used by quantitative analysts, risk managers, and graduate-level finance programs.

Book Details

• Title: Interest Rate Models – Theory and Practice

• Subtitle: With Smile, Inflation and Credit

• Edition: Second Edition

• Authors: Damiano Brigo, Fabio Mercurio

• Publisher: Springer (Springer Finance Series)

• Format: Hardcover

• Language: English

• Subject: Quantitative Finance / Interest Rate Modeling / Financial Engineering