Rebonato R. Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond[M]. Princeton University Press, 2002.
有人反映这本书兼有实务的敏锐和理论的严谨。在论坛上查了一下，这个版本应该算是比较清晰的。附件中上传文件仅供交流学习之用。
Contents
Introduction
Acknowledgements        xi
I        The Structure of the LIBOR Market Model        1
   1        Putting the Modern Pricing Approach in Perspective        3
2   ’The Mathematical and Financial Set-up        25
3   Describing the Dynamics of Forward Rates        57
4   Characterizing and Valuing Complex LIBOR Products        85
5  Determining the No-Arbitrage Drifts of Forward Rates        111
II        The Inputs to the General Framework        133
6        Instantaneous Volatilities        135
7        Speci句ing the Instantaneous Correlation Function        173
III  Calibration  of the LIBOR Market Model        209
8        Fitting the Instantaneous Volatility Functions        211
9        Simultaneous Calibration to Market Caplet Prices  249