##### Interest Rate Modelling

- Advanced Interest Rate Modelling (Part 1) by Pat Hagan
- Advanced Interest Rate Modelling (Part 2) by Pat Hagan
- Modern Interest Rates with Collateral, Funding and Credit Risk (Part 1) by Marco Bianchetti
- Modern Interest Rate Modelling with Collateral, Funding and Credit (Part 2) by Massimo Morini
- ADI Schemes for Pricing Options under the Heston model by Karel in't Hout
- Pricing Options via Fourier Inversion & Simulation of Stochastic Volatility Models by Roger Lord