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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Bibliography Includes bibliographical references and index. Account Options Sign in. The modelling of exotic interest-rate options is such an important and fast-moving area, that date updating of the extremely successful first edition has been eagerly awaited. Read, highlight, and take notes, across web, tablet, and phone. Skip to search Skip to main content.
Interest-Rate Option Models
Contents Definition and valuation of the underlying instruments. Product details Format Hardback pages Dimensions No eBook available Amazon.
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 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.
Levy Processes in Finance: Sensitivity Analysis in Practice: Further details can be found on the links between mean-reversion and calibration for the important classes of models. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products.
Riccardo Rebonato No preview available – 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.
References to this book Sensitivity Analysis in Practice: He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. My library Help Advanced Book Search.
Interest Rate Option Models : Riccardo Rebonato :
Visit our Beautiful Books page and find lovely books for kids, photography lovers and more. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments rqte modelling imperfect correlation between financial quantities.
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Looking for beautiful books? No eBook available Amazon. Imprint Chichester, England ; New York: Nielsen Book Data He is responsible for the modelling, trading, and risk management of the European exotic interest-rate products.
Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure otion.
The additional chapters deal with techniques such as American swaptions and the Two-Factor Model. Understanding, Analysing and Using Models for Riccardo Rebonato Snippet view – An accessible, first-rate overview mdoels 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.
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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.
Other editions – View all Interest-rate option models: We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book.
Intersst combines a solid academic background with the practical experience of someone who works in the financial sector.
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