Modern Pricing of Interest-rate Derivatives
The LIBOR Market Model and Beyond
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate…
Mehr
CHF 215.00
Preise inkl. MwSt. und Versandkosten (Portofrei ab CHF 40.00)
V105:
Folgt in ca. 15 Arbeitstagen
Produktdetails
- ISBN: 978-0-691-08973-7
- EAN: 9780691089737
- Produktnummer: 19366076
- Verlag: Princeton University Press
- Sprache: Englisch
- Erscheinungsjahr: 2002
- Seitenangabe: 488 S.
- Masse: H16.4 cm x B23.8 cm x D2.2 cm 832 g
- Abbildungen: 148 line illus. 41 tables.
- Gewicht: 832
- Sonstiges: Tertiary Education (US: College)
Über den Autor
Riccardo Rebonato is Head of Group Market Risk and Head of the Quantitative Research Centre (QUARC) for the Royal Bank of Scotland Group. He is also a Visiting Lecturer at Oxford University's Mathematical Institute, where he teaches for the MSC/Diploma in Mathematical Finance. His books include Interest-Rate Option Models and Volatility and Correlation in Option Pricing.
18 weitere Werke von Riccardo Rebonato:
Bewertungen
Anmelden