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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This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling References to this book Sensitivity Analysis in Practice: Skip to search Skip to interes content. Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics. Riccardo Rebonato No preview available – SearchWorks Catalog Stanford Libraries.
Interest-Rate Option Models by Rebonato, Riccardo
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.
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. Interest Rate Option Models: By using our website you agree to our modfls of cookies.
This accessible book narrows the information gap. Book ratings by Goodreads. 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.
Sensitivity Analysis in Practice: Imprint Chichester, England ; New York: Browse related items Start at call number: Read, highlight, and take notes, across web, tablet, and phone. This book is aimed at market professionals and postgraduate students internationally, working with interest rate raye options, who find a barrier to entry in the very technical nature of current academic and research literature.
The Best Books of Account Options Sign in. Further details can be found on the links between mean-reversion and calibration for the important classes of models.
Interest-Rate Option Models
Description Option modelling is a highly complex and fast moving area of finance. The additional chapters deal with techniques such as American swaptions and the Two-Factor Model. 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. Publication date ISBN Levy Processes in Finance: A motivation for yield curve models.
Definition and valuation of the underlying instruments. 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.
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Riccardo Rebonato No preview available – Understanding, Analysing and Using Models for Contents Definition and valuation of the underlying instruments. Bibliography Includes bibliographical references and index. Interst library Help Advanced Book Search. It also presents a substantial new chapter devoted to this revolutionary modelling method. From inside the book. It combines a solid academic background with the practical experience of someone who works in the financial sector.
Looking for beautiful books? Physical description xxi, p. Understanding, Analysing and Using Models for Check out the top books of the year on our page Best Books of Find it at other libraries via WorldCat Limited preview.
He has published papers in several academic journals in finance, and ratd a regular speaker at conferences worldwide show more. We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book. No eBook available Amazon. He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. Writing in accessible and non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented.
He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide. Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. Riccardo Rebonato Snippet view –