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

Rebonato, Riccardo

Hardcover

ISBN 10: 0471965693 ISBN 13: 9780471965695

Publisher: Wiley, 1996

Synopsis

An accessible, first-rate overview of interest rate dependent options for traders and institutional investors

Until now market 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. This accessible book narrows the information gap. 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.

DR. RICARDO REBONATO (London, England) is head of Research, Debt Capital Markets at Barclays de Zoete Wedd Ltd.

About this title

From the Publisher:

Until now market 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. This accessible book narrows the information gap. 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.

From the Back Cover:

"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.

About this edition

• Publisher: Wiley
• Publication date: 1996
• ISBN 10: 0471965693
• ISBN 13: 9780471965695
• Binding: Hardcover
• Edition number: 1
• Number of pages: 392