Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond

Valutazione media 4
( su 2 valutazioni fornite da Goodreads )
 
9780691089737: 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 derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. 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.


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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Back Cover:

"Dr. 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."--Ian Cooper, Professor of Finance, London Business School

"This eagerly awaited book fills an important need. 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. Dr. Rebonato is a leading expert in the field. His treatment is exceptionally lucid as well as authoritative."--Stewart Hodges, University of Warwick

"Riccardo Rebonato succeeds admirably in combining an accessible exposition of the foundations of the LIBOR market model framework with extensive guidance on the calibration and implementation of the models in practice. 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."--Paul Glasserman, Columbia University

"This book is a significant contribution to the field. 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."--Nick Webber, University of Warwick

"There are many books that get bogged down in mathematical technicalities before they get to the point and are therefore of little use to practitioners. Rebonato takes the opposite approach: he gets to the point. People working in the mathematical finance industry will love this book."--Jeff Dewynne, Oxford University

About the Author:

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

I migliori risultati di ricerca su AbeBooks

1.

Riccardo Rebonato
Editore: Princeton University Press (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Quantità: 2
Da
Books2Anywhere
(Fairford, GLOS, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2002. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria WP-9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 93,49
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 10,95
Da: Regno Unito a: Italia
Destinazione, tempi e costi

2.

Riccardo Rebonato
Editore: Princeton University Press, United States (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 1
Da
The Book Depository US
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, United States, 2002. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. 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 derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. 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. 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. Codice libro della libreria AAH9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 115,84
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Regno Unito a: Italia
Destinazione, tempi e costi

3.

Riccardo Rebonato
Editore: Princeton University Press, United States (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 1
Da
The Book Depository
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, United States, 2002. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. 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 derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. 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. 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. Codice libro della libreria AAH9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 115,84
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Regno Unito a: Italia
Destinazione, tempi e costi

4.

Riccardo Rebonato
Editore: Princeton University Press (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 1
Da
Irish Booksellers
(Rumford, ME, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2002. Hardcover. Condizione libro: New. book. Codice libro della libreria M0691089736

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 120,52
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 10,21
Da: U.S.A. a: Italia
Destinazione, tempi e costi

5.

Riccardo Rebonato
Editore: Princeton University Press 2002-12-13, Princeton, N.J. (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 10
Da
Blackwell's
(Oxford, OX, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton University Press 2002-12-13, Princeton, N.J., 2002. hardback. Condizione libro: New. Codice libro della libreria 9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 127,87
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 4,38
Da: Regno Unito a: Italia
Destinazione, tempi e costi

6.

Riccardo Rebonato
Editore: Princeton University Press (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Quantità: > 20
Print on Demand
Da
Pbshop
(Wood Dale, IL, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2002. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 138,16
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 9,78
Da: U.S.A. a: Italia
Destinazione, tempi e costi

7.

Rebonato, Riccardo
Editore: Princeton University Press (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Quantità: > 20
Print on Demand
Da
Books2Anywhere
(Fairford, GLOS, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2002. HRD. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 139,47
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 10,95
Da: Regno Unito a: Italia
Destinazione, tempi e costi

8.

Rebonato, Riccardo
Editore: Princeton University Press (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 10
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2002. Hardcover. Condizione libro: New. Codice libro della libreria INGM9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 142,81
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 11,91
Da: U.S.A. a: Italia
Destinazione, tempi e costi

9.

Riccardo Rebonato
Editore: Princeton University Press, United States (2002)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 10
Da
Book Depository hard to find
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, United States, 2002. Hardback. Condizione libro: New. New.. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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 derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. 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. 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. Codice libro della libreria BTE9780691089737

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 156,86
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Regno Unito a: Italia
Destinazione, tempi e costi

10.

Rebonato, Riccardo
Editore: Princeton University Press (2017)
ISBN 10: 0691089736 ISBN 13: 9780691089737
Nuovi Rilegato Quantità: 2
Print on Demand
Da
Murray Media
(North Miami Beach, FL, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Princeton University Press, 2017. Hardcover. Condizione libro: New. This item is printed on demand. Codice libro della libreria P110691089736

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 140,33
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 17,00
Da: U.S.A. a: Italia
Destinazione, tempi e costi

Vedi altre copie di questo libro

Vedi tutti i risultati per questo libro