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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The additional chapters deal with techniques such as American swaptions and the Two-Factor Model.
Account Options Sign in. Riccardo Rebonato Snippet view – Physical description xxi, p. An accessible, first-rate overview of interest rate dependent options for traders and institutional investors Until now market modls 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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Interest Rate Option Models : Riccardo Rebonato :
He is responsible for the modelling, trading and risk management of the European exotic interest-rate products.
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References to this book Sensitivity Analysis in Practice: Sensitivity Analysis in Practice: Nielsen Book Data This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier renonato 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 conferences worldwide show more.
Interest-Rate Option Models
Other editions – View all Interest-rate option models: My library Help Advanced Book Search. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products.
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.
It also presents a substantial new chapter devoted to this revolutionary modelling method. Levy Processes in Finance: Read, highlight, and take notes, across web, tablet, and phone. No eBook available Amazon. This major revision of the first edition sees the introduction of five new chapters together raet the inclusion of complex quantitative material. My library Help Advanced Book Search.
Read, highlight, and take notes, across web, tablet, and phone. Bibliography Includes bibliographical references and index.
Definition and valuation of the underlying instruments. Table of ijterest The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics.
Description Option modelling is a highly complex and fast moving area of finance. He is responsible for the modelling, trading, and risk management of the European exotic interest-rate products.
Browse related items Start at call number: Nielsen Book Data Publisher’s Summary An interest rate option ,odels 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. SearchWorks Catalog Stanford Libraries. Visit our Beautiful Books page and find lovely books for kids, photography lovers and more.
Riccardo Rebonato No preview available – Interest Rate Option Ratr This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling 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. The Best Books of Check out the top books of jodels year on our page Best Books of Riccardo Rebonato No preview available – Goodreads is the world’s largest site for readers with over 50 million reviews. 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.
It combines a solid academic background with the practical experience of someone who works in the financial sector. Product details Format Hardback pages Dimensions 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.