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Wednesday, April 22, 2015

Rebanato - good author on fixed income models

recommended by Sian Hwee.

Ronnie said Black model is popular (largely due to simplicity, and historical reason), and many option products are quoted in terms of vols implied from the Black model. 

TA seems to agree that the advanced models (beyond the Black model) are still needed but indeed harder than the earlier lectures before the Black model.