Volatility and Correlation in the Pricing of Equity, FX and Interest-rate Options
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Volatility and Correlation in the Pricing of Equity, FX and Interest-rate Options by Riccardo Rebonato
In this book, the author introduces the financial community to the next step forward in the evolution of modelling of option prices - the use of volatility and correlation in the models. He assesses existing models in light of new development and introduces several original approaches.
Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University. Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading Desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford. He is the author of the highly successful book Interest-Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences world-wide.
| SKU | Unavailable |
| ISBN 13 | 9780471899983 |
| ISBN 10 | 0471899984 |
| Title | Volatility and Correlation in the Pricing of Equity, FX and Interest-rate Options |
| Author | Riccardo Rebonato |
| Series | Wiley Series In Financial Engineering |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | John Wiley and Sons Ltd |
| Year published | 1999-10-15 |
| Number of pages | 360 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |