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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Skip to search Skip to main content. SearchWorks Catalog Stanford Libraries. Interest Rate Option Models: It combines a solid academic background with the practical interets of someone who works in the financial intereat. Definition and valuation of the underlying instruments. Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure modelling.
Understanding, Analysing and Using Models for Riccardo Rebonato No preview available – From inside the book.
Interest-Rate Option Models by Rebonato, Riccardo
We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book. 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.
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. Imprint Chichester, England ; New York: Other editions – View all Interest-rate option models: Find it at other libraries via WorldCat Limited preview.
The Best Books of Riccardo Rebonato No preview available – Bibliography Includes bibliographical references and index.
Account Options Sign in. He has published papers in several academic rebpnato in finance, and is a regular speaker at conferences worldwide show more.
Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. He is responsible for the modelling, trading, and risk management of the European exotic interest-rate products. 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 of interest rate dependent options were forced to hunt through esoteric journals for a crumb or two of practical knowledge about their use.
Physical description xxi, p.
This accessible book narrows the information gap. Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics.
Nielsen Book Data Further details can be found on the links between mean-reversion and calibration for the important classes of models. This edition re-focuses the assessment of various models presented rte the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products.
It also presents a substantial new chapter devoted to this revolutionary modelling method. Contents Definition and valuation of the underlying instruments.
Writing in accessible intterest non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented. The additional chapters deal with techniques such as American swaptions and the Two-Factor Model.
Interest Rate Option Models : Riccardo Rebonato :
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. He has published papers in several academic journals in finance, and is a regular speaker at ratte worldwide. Account Options Sign in. Book ratings by Goodreads. Sensitivity Analysis in Practice: