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 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. Written in easy-to-follow, non-technical language, it logically reviews all the most commonly used interest rate option models, showing how each one can be applied and implemented for specific market applications.
Interest Rate Option Models : Riccardo Rebonato :
Levy Processes in Optiob An accessible, first-rate overview of interest rate dependent options for traders and institutional investors Until now market professionals seeking to exploit the profit potential optjon interest rate dependent options were forced to hunt through esoteric journals for a crumb or two of practical knowledge about their use. Understanding, Analysing and Using Models for Understanding, Analysing and Using Models for Skip to search Skip to main content.
It also presents a substantial new chapter devoted to this revolutionary modelling method. Bibliography Includes bibliographical references and index. Riccardo Rebonato Snippet view – Find it at other libraries via WorldCat Limited preview. A motivation for yield curve models. Describe the connection issue.
Contents Definition and valuation of the underlying instruments. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products.
Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics. Home Contact Us Help Free delivery worldwide. Nielsen Book Data Publisher’s Summary An 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.
The additional chapters deal with techniques such as American swaptions and the Two-Factor Model.
This edition re-focuses the assessment of various inetrest presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. Description Option modelling is a highly complex and fast moving area of finance. Read, highlight, and take notes, across web, tablet, and phone.
Interest-Rate Option Models by Rebonato, Riccardo
Publication date ISBN Mathematical derivations of the models are only reported in so far as they enhance the modela of the model – the emphasis is on accessibility and ease of understanding. Physical description xxi, p. Other editions – View all Interest-rate option models: Account Options Sign in.
Sensitivity Analysis in Practice: From inside the book. We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book. My library Help Advanced Book Search.
Looking for beautiful books? Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure modelling. The Best Books of Further details can be found on the links between mean-reversion and calibration for the important classes of models. Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. Product details Format Hardback pages Dimensions Definition and valuation of the underlying instruments.
Riccardo Rebonato No preview available – Book ratings by Goodreads. He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide. Imprint Chichester, England ; New York: Goodreads is the world’s largest site for readers with over 50 million reviews.