Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options

Langue : anglais

Edité par Wiley, Chichester, England, 1998

0471979589 / 9780471979586

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Sewn binding. Cloth over boards. 546 p. Contains: Illustrations. Wiley Financial Engineering. Audience: General/trade. 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. Very good in very good dust jacket. light shelfwear to the jacket, previous owner name on first page.…

N° de réf. du vendeur Alibris.0028267

Titre
Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options
Auteur
Rebonato, Riccardo
Éditeur
Wiley, Chichester, England
Année de publication
1998
Jaquette
Jaquette
Reliure
Hard cover
Langue
anglais
ISBN à 10 chiffres
0471979589
ISBN à 13 chiffres
9780471979586
Édition
2nd ed.

West With The Night

Tucson, AZ, Etats-Unis

Vendeur avec une évaluation de 5 étoiles

Vendeur AbeBooks depuis 10 septembre 2018

Frais d'expédition à l'intérieur de ce pays : Etats-Unis

Article3 à 10 jours ouvrés2 à 3 jours ouvrés
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