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Riccardo Rebonato

Modern Pricing of Interest-rate Derivatives

The LIBOR Market Model and Beyond

Buch

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

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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.

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