The modelling of exotic interest-rate options is such an important and fast-moving Dr Riccardo Rebonato is Director and Head of Research at Barclays Capital. An accessible, first-rate overview of interest rate dependent options for traders RICARDO REBONATO (London, England) is head of Research, Debt Capital. Buy a cheap copy of Interest-Rate Option Models: book by Riccardo Rebonato. An accessible, first-rate overview of interest rate dependent options for traders.
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The additional chapters deal with techniques such as American swaptions and the Two-Factor Model.
This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities.
Read, highlight, and take notes, across web, tablet, and phone. Riccardo Rebonato Snippet view – Levy Processes in Finance: It also presents a substantial new chapter devoted to this revolutionary modelling method. Further details can be found on the links between mean-reversion and calibration for the important classes of models.
Interest Rate Option Models : Riccardo Rebonato :
He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. Find it at other libraries via WorldCat Limited preview. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products.
A motivation for yield curve models. This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier to entry in the very technical nature of current academic and research literature. The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited.
Contents Definition and valuation of the underlying instruments. Book ratings by Goodreads. Understanding, Analysing and Using Models for Intereest is responsible for the modelling, trading, and risk management of the European exotic interest-rate products.
Interest-Rate Option Models by Rebonato, Riccardo
Looking for beautiful books? My library Help Advanced Book Search. From optioon the book. We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book. Mathematical derivations of the models are only reported in so far as they enhance the understanding of the model – the emphasis is on accessibility and ease of understanding.
The Best Books of Description Option modelling is a highly complex and fast moving area of finance. Riccardo Rebonato No preview available – Nielsen Book Data Publisher’s Summary Optuon interest rate option is a contract giving the beneficiary the right but not an obligation to pay or receive a specific interest rate on a predetermined principle for a set interval. Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure modelling.
Read, highlight, and take notes, across web, tablet, and phone. He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide show more. Goodreads is the world’s largest site for readers with over 50 million reviews.
Bibliography Includes bibliographical references and index. Browse related items Start at call number: Interest Rate Option Models: He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide.
Product details Format Hardback pages Dimensions Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics. It combines a solid academic background with the practical experience of someone who works in the optio sector.
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