Low Latency Interest Rate Markets: Theory, Pricing and Practice Paperback – 27 Jan. 2023

A good reference for interest rate markets. The book is current and up-to-date with recent Libor changes. It covers pricing and yield curve models in detail and how to speed-up calculations. Easy to follow and the spreadsheet examples are helpful.

The author is experienced in quant finance and he knows what are needed for beginners in this industry.

It’s a really nice book and contains relevant knowledge about Interest rates so would highly recommended

Fantastic book

Gives a current and in depth insight into high frequency electronic markets. The book contains many practical market illustrations and examples

CONS (a lot):It has no content on Low Latency Interest rate Markets. There is no chapter dedicated to Low Latency Interest Rates trading.Contents are: interest rate products, rule of thumbs, conventions, bootstraps and something on adjoint automatic differentiation (AD and AAD). Automatic Differentiation is a key aspect on performance (hence, Low Latency), but only 10 pages are dedicated to it with a lot of code sample, so the topic is poorly covered.The quality of impression is poor, the font size is incredibly small. The book was entirely written in Microsoft Word (classical Word fonts, formulaes, and figures). Tables are just Excel Tables pasted as blurry images with poor quality.PROS:Other useful content such as multicurve framework is explained and developed with ease. This book can be easly be followed to implementation and can be much used as a guide or manual.