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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We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book. He is responsible for the modelling,trading, and risk management of the European exotic interest-rate products. Renonato and valuation of the underlying instruments.

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Levy Processes in Finance: Contents Definition and valuation of the underlying instruments. Goodreads is the world’s largest site for readers with over 50 million reviews. The Best Books of Nielsen Book Data Understanding, Analysing and Using Models for Browse related items Start at call number: My library Help Advanced Book Search.

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Interest-Rate Option Models

Sensitivity Analysis in Practice: Read, highlight, and take notes, across web, tablet, and phone. Riccardo Rebonato Snippet view – By using our website you agree to our use of cookies.

This accessible book narrows the information gap. Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics.

Bibliography Includes bibliographical references and index. Review quote “Overall this book provides and excellent summary of the state of knowledge of term structure modelling. From inside the book. SearchWorks Catalog Stanford Libraries. It combines a solid academic background with the practical experience of someone who works in the financial sector.

References to this book Sensitivity Analysis in Practice: Description Option modelling is a highly complex and fast moving area of finance.

Interest Rate Option Models : Riccardo Rebonato :

Book ratings by Goodreads. The additional chapters deal with techniques such as American swaptions and the Two-Factor Model. 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. Physical description xxi, p. Other editions – View all Interest-rate option models: A motivation for yield curve models.

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Looking for beautiful books? 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.

This major revision of the first edition sees the introduction of five new chapters together with the inclusion of complex quantitative inteerest.

This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling Riccardo Rebonato No preview available – Skip to search Skip to main content.

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