Interest-Rate Option Models - Couverture rigide

Rebonato, Riccardo

Couverture rigide

ISBN 10 : 0471965693 ISBN 13 : 9780471965695

Editeur : John Wiley & Sons Ltd, 1996

Synopsis

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. 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. This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier to entry in the very technical nature of current academic and research literature. 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.

A propos du livre

Présentation de l'éditeur

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 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.

Quatrième de couverture

"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.

Détails de l'édition

• Éditeur: John Wiley & Sons Ltd
• Date d'édition: 1996
• Langue: anglais
• ISBN 10: 0471965693
• ISBN 13: 9780471965695
• Reliure: Relié
• Nombre de pages: 256
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible