Volatility and Correlation : In the Pricing of Equity, FX, and Interest-Rate Options

Rebonato, Riccardo

ISBN 10: 0471899984 / ISBN 13: 9780471899983

Published by John Wiley, 1999

About this Item

Type: Book pp xvii, 338, 1st printing.

Seller Inventory # 017820

Bibliographic Details

• Title: Volatility and Correlation : In the Pricing of Equity, FX, and Interest-Rate Options
• Publisher: John Wiley
• Publication Date: 1999
• Language: English
• ISBN 10: 0471899984
• ISBN 13: 9780471899983
• Binding: Hardcover
• Edition: 1st Edition.
• Condition: Fine
• Dust Jacket Condition: Very Good
• Seller catalogs:
  • Business, Law & Economics

About this title

Synopsis

In his new book, Riccardo Rebonato introduces financial professionals to the practical and subtle use of the concepts of volatility (the degree of randomness in a price movement) and correlation (the relationship between the changes in value of two financial assets) in the pricing of complex options.

By explaining this approach in clear and accessible terms, the author provides traders, risk managers, financial professionals and students with the tools to undertake an effective investigation of option pricing models both at the qualitative and quantitative level.

Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University.

Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford

He is the author of the highly successful book Interest-Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences world-wide.

About the Author

Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University. Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading Desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford. He is the author of the highly successful book Interest-Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences world-wide.