The SABR/LIBOR Market Model
Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
This is the best of Rebonato's books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. Definitely a must. Fabio Mercurio, Senior Quantitative Analyst, Bloomberg New York A book that has all the hallmarks of Riccardo Rebonato: rigorous theory, up-to-date market knowledge, practical application, and empirical testing to destruction. This time, with co-authors, he applies himself to the most central banking market: LIBOR-related contracts. Ian Cooper, Professor of Finance, London Business School In this concise b…
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Produktdetails
Weitere Autoren: McKay, Kenneth / White, Richard
- ISBN: 978-1-119-99563-0
- EAN: 9781119995630
- Produktnummer: 13828979
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2011
- Seitenangabe: 296 S.
- Plattform: EPUB
- Masse: 5'165 KB
Über den Autor
RICCARDO REBONATO is Global Head of Market Risk and Global Head of the Quantitative Research Team at RBS. He is a visiting lecturer at Oxford University (Mathematical Finance) and adjunct professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP. He is an editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions. He holds doctorates in Nuclear Engineering and in Science of Materials/Solid State Physics. He was a research fellow in Physics at Corpus Christi College, Oxford, UK. KENNETH MCKAY is a PhD student at the London School of Economics following a first class honours degree in Mathematics and Economics from the LSE and an MPhil in Finance from Cambridge University. He has been working on interest rate derivative-related research with Riccardo Rebonato for the past year. RICHARD WHITE holds a doctorate in Particle Physics from Imperial College London, and a first class honours degree in Physics from Oxford University. He held a Research Associate position at Imperial College before joining RBS in 2004 as a Quantitative Analyst. His research interests include option pricing with Levy Processes, Genetic Algorithms for portfolio optimisation, and Libor Market Models with stochastic volatility. He is currently taking a fortuitously timed sabbatical to pursue his joint passion for travel and scuba diving.
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