Techniques for pricing interest rate derivatives will be presented and a summary of differences to other. Most empirical papers focus on assessing the pricing performance of in-.prestalnodetur.ga/map26.php
Market Model and Beyond. Everyday low prices and free delivery on eligible orders. Of interest rate models term- structure models , pricing of bonds and interest rate derivatives, using both equilibrium and no- arbitrage approaches are discussed, compared and contrasted. However, many competing versions, and even more modes of implementation, exist. Princeton University Press, Princeton and Oxford. The academic and practitioners' communities, however, have.
In recent years, interest- rate modeling has developed rapidly in terms of both practice and.
MODERN PRICING OF INTEREST-RATE DERIVATIVES : THE LIBOR MARKET MODEL AND BEYOND
Professor Rebonato is a specialist in interest rate risk modelling with applications to bond portfolio management and fixed- income derivatives pricing. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance. Rebonato has blended technical mastery with many years of practical experience to produce what should become the standard handbook for anyone wanting to value, hedge or control the risks of interest rate derivatives.
It covers the pressing but technically difficult issues of how to implement 'market' models of the term structure for the purposes of valuing and hedging interest-rate-sensitive derivatives.
Rebonato is a leading expert in the field. His treatment is exceptionally lucid as well as authoritative. The book's many insights into the dynamics of fixed income markets and models should provide industry professionals with valuable tools and offer academics a rare glimpse of the market as viewed by a practitioner-theorist, all presented in the author's elegant and lively style. It offers plenty of empirical work and case studies illustrating the application of the models each step of the way.
Unlike other treatments, it emphasizes the market rationale for modeling choices, and is not driven by purely mathematical considerations. Reference is continually made to market features, the behaviour of instruments, and empirical features, with all of this backed up by the author's considerable experience.
Rebonato takes the opposite approach: he gets to the point. People working in the mathematical finance industry will love this book. His ideas are conveyed in a brief and clear manner.
Interest Rate Derivatives - Financial Risk Fitness
I thoroughly enjoyed this book since it allowed me to discover a whole new world in a fast and painless fashion. I would therefore recommend it to everyone who has any interest in the fascinating universe of fixed-income derivatives. Convert currency.
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- Riccardo Rebonato: Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond.
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More information about this seller Contact this seller. Never used! This item is printed on demand. Seller Inventory P He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness.
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Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem.
This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance. This action might not be possible to undo. Are you sure you want to continue?
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