Interest-rate option models
β Riccardo Rebonato
π Library
π
1998
π Wiley
π English
β¦ LIBER β¦
π
Interest-rate option models
β Scribed by Riccardo Rebonato
- Publisher
- Wiley
- Year
- 1998
- Tongue
- English
- Leaves
- 543
- Series
- Wiley Series in Financial Engineering
- Edition
- 2 Sub
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ Synopsis
Overall this book provides an excellent summary of the state of knowledge of term structure modelling. It combines a solid academic background with the practical experience of someone who works in the financial sector. Alan White and John Hull, A-J Financial Systems, Canada
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 financial 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 markets 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 important classes of models.
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