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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From inside the book. He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. Riccardo Rebonato No preview available – Product details Format Hardback pages Dimensions 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.
Nielsen Book Data Browse related items Start at call number: It also presents a substantial new chapter devoted to this revolutionary modelling method. Understanding, Analysing and Using Models for This major revision of the first edition sees the introduction of five new chapters together rahe the inclusion of complex quantitative material.
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.
Nielsen Book Data Publisher’s Summary An interest opton 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 interdst set interval. SearchWorks Catalog Stanford Libraries.
Interest Rate Option Models : Riccardo Rebonato :
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The additional chapters deal with techniques such as American swaptions and the Two-Factor Model. No eBook available Amazon. Account Options Sign in.
Further details can be found on the links between mean-reversion and calibration for the important classes of models. Publication date ISBN Skip to search Skip to main content. Levy Processes in Finance: 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. No eBook available Amazon.