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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Interest-Rate Option Models

Interest Rate Option Models: This edition re-focuses the assessment of various models presented in the first edition, modls light of the new developments of modelling imperfect correlation between financial quantities.

Bibliography Includes bibliographical references and index.

Further details can be found on the links between mean-reversion and calibration for the important classes of models. Nielsen Book Data This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling Product details Format Hardback pages Dimensions Read, highlight, and take notes, across web, tablet, and phone.

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This accessible book narrows the information gap.

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.

Read, highlight, and take notes, across web, tablet, and phone. Account Options Sign in. We’re featuring millions of their reader ratings on our book pages unterest help you find your new favourite book. My library Help Advanced Book Search.

Interest Rate Option Models : Riccardo Rebonato :

He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide. Riccardo Opton Snippet view – Mathematical derivations of the models are only reported in so far as they enhance the tate of the model – the emphasis is on accessibility and ease of understanding.

He is responsible for the modelling, trading, and risk management of the European exotic interest-rate products.

He is responsible for the modelling, trading and risk management of the European exotic interest-rate products.

SearchWorks Catalog

A motivation for yield curve models. Book ratings by Goodreads. Table of contents The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics.

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Interest-Rate Option Models by Rebonato, Riccardo

My library Help Advanced Book Search. Contents Definition and valuation of the underlying instruments. Riccardo Rebonato No preview available – SearchWorks Catalog Stanford Libraries. No eBook available Amazon.

Describe the connection issue. References to this book Sensitivity Analysis in Practice: Physical description xxi, p. Understanding, Analysing and Using Models for Other editions – View all Interest-rate option models: The Best Books of Looking for beautiful books?

Levy Processes in Finance: Account Options Sign in. Description Option modelling is a highly rrate and fast moving area of finance. Home Contact Us Help Free delivery worldwide. He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide show more.