Interest Rate Modeling. Volume 3: Products and Risk Management
Andersen and Piterbarg have written a Landau and Lifschitz of fixed income analytics.  --Alexander Lipton-Lifschitz, Co-Head of the Global Quantitative Group, Bank of America Merrill LynchThe authors bring a matchless combination of theoretical and practical expertise to these volumes. The result is a masterwork: truly insightful, inexhaustible in rigor, and terrifyingly complete in scope.  --Tom Hyer, Head of Quant Analytics, UBSWritten by two of the sharpest mathematical minds in the industry, the theoretical presentation is precise, the scope is comprehensive, and the implementation details reflect ample experience --Steven Shreve, Professor of Mathematics, Carnegie Mellon