INTEREST RATE OPTION MODELS REBONATO PDF

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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Publication date ISBN Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics.

No eBook available Amazon. Account Options Sign in. Read, highlight, and take notes, across web, tablet, and phone. The additional chapters deal with techniques such as American swaptions and the Two-Factor Model. He is responsible for the modelling, trading, and risk management of the European exotic interest-rate products. Book ratings by Goodreads. Interest Rate Option Models: Further details can be found on the ,odels between mean-reversion and calibration for the important classes of models.

Product details Format Hardback pages Dimensions SearchWorks Catalog Stanford Libraries.

Understanding, Analysing and Using Models for Definition and valuation of the underlying instruments. Sensitivity Analysis in Practice: References to this book Sensitivity Analysis in Practice: He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide show more.

This accessible book narrows the information gap. My library Help Advanced Book Search. Riccardo Rebonato No preview available – Understanding, Analysing and Using Models for Description Option modelling is a highly complex and fast moving area of finance.

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It also presents a substantial new chapter devoted to this revolutionary modelling method. No eBook available Amazon. Levy Processes in Finance: Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure modelling. The Best Books of Writing in accessible and non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented. It combines a solid academic background with the practical experience of someone who works in the financial sector.

Interest-Rate Option Models by Rebonato, Riccardo

Imprint Chichester, England ; New York: My library Help Advanced Book Search. 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. 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.

Nielsen Book Data Other editions – View all Interest-rate option models: Goodreads is the world’s largest site for readers with over 50 million reviews. Read, highlight, and take notes, across web, tablet, and phone.

Contents Definition and valuation of the underlying instruments. The modelling of exotic interest-rate options raye such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products.

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He is responsible for the modelling, trading and risk management of the European exotic interest-rate products. A motivation for yield curve models.

Interest-Rate Option Models

This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling Check out the top books of the year on our page Best Books of By using our website you agree to our use of cookies. This major revision of the first edition sees the introduction of five new chapters together with the inclusion of complex quantitative material. Describe the connection issue.

Physical description xxi, p. Home Contact Us Help Free delivery worldwide. An accessible, first-rate overview of interest rate dependent options for traders and institutional investors Until now opiton 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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Bibliography Includes bibliographical references and index. Looking for beautiful books? Mathematical derivations of the models are rebonwto reported in so far as they enhance the understanding of the model – the emphasis is on accessibility and ease of understanding.

Riccardo Rebonato Snippet view – Riccardo Rebonato No preview available –