Interest-Rate Option Models
Published on 31. July 1996
Book
Hardback
256 pages
978-0-471-96569-5 (ISBN)
Description
An interest rate option is a contract giving the beneficiary the right but not an obligation to pay or receive a specific interest rate on a predetermined principle for a set interval. Writing in accessible and non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented. This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier to entry in the very technical nature of current academic and research literature. Mathematical derivations of the models are only reported in so far as they enhance the understanding of the model - the emphasis is on accessibility and ease of understanding.
More details
Language
English
Place of publication
Chichester
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 236 mm
Width: 162 mm
Weight
770 gr
ISBN-13
978-0-471-96569-5 (9780471965695)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Riccardo Rebonato
Interest-Rate Option Models
Understanding, Analysing and Using Models for Exotic Interest-Rate Options
Book
03/1998
2nd Edition
Wiley
€99.90
Article is exhausted; no reprint
Content
PART I: THE NEED FOR YIELD CURVE ESTIMATION: Definition and Valuation of Underlying Instruments; A Motivation for Yield Curve Models; PART II: THE THEORETICAL TOOLS: The Analytic and Probabilistic Tools; The Conditions of No Arbitrage; PART III: THE IMPLEMENTATION TOOLS: Lattice Methods; Monte Carlo Methods; PART IV: ANALYSES OF SPECIFIC MODELS: The Black Derman and Toy Model; The Hull and White Approach; The Longstaff and Schwartz Model; The Brennan and Schwartz Model; The Heath Jarrow and Morton Approach; PART V: GENERAL TOPICS: Markovian and Non-Markovian Interest Rate Models.