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

Riccardo Rebonato

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond - image
Rating: 4.5/5 Stars
Rank: 37327
I thoroughly enjoyed this book. . . . [I]t allowed me to discover a whole new world in a fast and painless fashion.

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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".

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Editorials

Sample 3 of 5

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
Riccardo Rebonato
 Alireza Javaheri, Quantitative Finance
I thoroughly enjoyed this book. . . . [I]t allowed me to discover a whole new world in a fast and painless fashion.
 Review
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... read full editorial
 Book Description
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... read full editorial



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


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


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