Interest rate futures trader’s reading list

Posted: March 30, 2010 in Uncategorized
Tags: , , ,

In a continuation of the options reading list, today’s list is for the aspiring interest rate trader’s (vanilla only: exchange listed, simple derivatives).

  1. The Eurodollar Futures and Options Handbook by Burghardt
  2. The Treasury Bond Basis by Burghardt
  3. Volatility and Correlation by Rebonato
  4. Interest Rate Models: Theory and Practice by Brigo
  5. Modern Pricing of Interest Rate Derivatives by Rebonato
  6. The LIBOR Market Model in Practice by Gatarek
  7. Interest Rate Swaps and Their Derivatives by Sadr

Normally, I would comment each of these but they are all pretty stellar with the exception of the LIBOR market model book; it is decent but still a decent read.  The Burghardt books are the must haves for the Eurodollar trader along; I also think Interest Rate Swaps text is a great book for the Treasury – Eurodollar (TED) trader.


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