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Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
by Riccardo Rebonato
Hardcover: 480 pages Publisher: Princeton University Press (November 4, 2002) Language: English ISBN-10: 0691089736 ISBN-13: 978-0691089737 Review
Alireza Javaheri, "Quantitative Finance" Quantitative Finance : Rebonato's writing style is probably the most elegant I have ever seen in a quantitative finance book. His ideas are conveyed in a brief and clear manner. . . . I thoroughly enjoyed this book since it allowed me to discover a whole new world in a fast and painless fashion. I would therefore recommend it to everyone who has any interest in the fascinating universe of fixed-income derivatives.