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 imperfect correlation between financial quantities. Contents Definition and valuation of the underlying instruments. Browse related items Start at call number: Imprint Chichester, England ; New York: This accessible book narrows the information gap.
Interest-Rate Option Models
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Interest Rate Option Models : Riccardo Rebonato :
Find it at other libraries via WorldCat Limited preview. Description Option modelling is a highly complex and fast moving area of finance. Riccardo Rebonato No preview available – Read, highlight, and take notes, across web, tablet, and phone.
Publication date ISBN Skip to search Skip to main reobnato. Riccardo Rebonato No preview available – From inside the book. Bibliography Includes bibliographical references and index.
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. Check out the top books of the year on our page Best Books of rbonato Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure modelling.
He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. Understanding, Analysing and Using Models for 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.
Definition and valuation of the underlying instruments. Sensitivity Analysis in Practice: Account Options Sign in. Other editions – View all Interest-rate option models: Product details Format Hardback pages Dimensions Further details can be found on the links between mean-reversion and calibration for the important classes of models.
Understanding, Analysing and Using Models for Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics. 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.
The additional chapters deal with techniques such as American swaptions and the Two-Factor Model. It also presents a substantial new chapter devoted to this revolutionary modelling method. Account Options Sign in.
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