Search - Interest-Rate Option Models: Understanding, Analysing, and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering)

InterestRate Option Models Understanding Analysing and Using Models for Exotic InterestRate Options - Wiley Series in Financial Engineering
Author: Riccardo Rebonato, Ricardo Rebonato

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. 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 financi...  more »al quantities. It also presents a substantial new chapter devoted to this revolutionary modelling method. In this second edition, readers will also find important new data dealing with the securities market and the probabilistic/stochastic calculus tools. Other changes include: a new chapter on the issues arising in the pricing of several classes of exotic interest-rate instruments; and insights from the BDT and the Brennan and Schwartz approaches which can be combined into a new class of "generalised models". Further details can be found on the links between mean-reversion and calibration for the important classes of models.

Dr Riccardo Rebonato is Director and Head of Research at Barclays Capital. He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. Before moving into investment banking he was Research Fellow in Physics at Corpus Christi College (Oxford). He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide.  « less

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ISBN-13: 9780471965695
ISBN-10: 0471965693
Publication Date: 8/1996
Pages: 392
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Publisher: John Wiley & Sons
Book Type: Hardcover
Members Wishing: 0
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