Modern Pricing of Interest-Rate Derivatives
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Modern Pricing of Interest-Rate Derivatives by Riccardo Rebonato
Presents the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. This book talks about the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables.
"Rebonato's writing style is probably the most elegant I have ever seen in a quantitative finance bookHis ideas are conveyed in a brief and clear manner... 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."--Alireza Javaheri, Quantitative Finance
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".
| SKU | Unavailable |
| ISBN 13 | 9780691089737 |
| ISBN 10 | 0691089736 |
| Title | Modern Pricing of Interest-Rate Derivatives |
| Author | Riccardo Rebonato |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Princeton University Press |
| Year published | 2002-11-24 |
| Number of pages | 488 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |