Riccardo Rebonato

Having to deal with Exotic Interest Rates product professionally, I had to get the latest Rebonato's opum. I've found in the past that there is much to be annoyed with this author, but also very frequently insights you would not get anywhere else: in the case of this book, the couple of pages where he explains what makes a good model should be mandatory reading for any aspiring "quant" thinking about applying the tools of his trade to the dirty world of finance. Recommended as such.

Rebonato is famous, and any student of vol skew or local volatility surfaces would do well to study this book.