Analytical Finance Volume II - The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation 2017 by Jan R. M. Röman
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The previous book, Analytical Finance - The Mathematics of Equity Derivatives, Markets, Risk and Valuation, covers the equity market, including some FX derivatives.
请按 Analytical Finance Volume I - The Mathematics of Equity Derivatives, Markets, Risk and Valuation (Palgrave, 2017) by Jan R. M. Röman

This second volume covers the most central topics needed for the valuation of derivatives on interest rates and fixed income instruments. This also includes the mathematics needed to understand the theory behind the pricing of interest rate instruments, for example basic stochastic processes and how to bootstrap interest rate yield curves. The yield curves are used to generate and discount future cashflows and value financial instruments. We include pricing with discrete time models as well as models in continuous time.

Amazon - Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets and Valuation