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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)
by Damiano Brigo, Fabio Mercurio
from Springer
Customer Reviews:
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Avg. Customer Rating: 5.0 / 5.0 
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Best book on interest rate models
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.
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The best book I have read on the subject
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject. Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it. I would just say that this is certainly a must have in the field.
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New stuff and nice overview: hard to beat!
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned. I've followed a similar path from control to finance, and having worked... more info
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Nicely written overview of interest rate models 
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market... more info
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