Interest-Rate Option Models
Understanding, Analysing and Using Models for Exotic Interest-Rate Options
2nd Edition
Published on 27. March 1998
Book
Hardback
XXIV, 522 pages
978-0-471-97958-6 (ISBN)
Description
Option modelling is a highly complex and fast moving area of finance. This major revision of the first edition sees the introduction of five new chapters together with the inclusion of complex quantitative material. The additional chapters deal with techniques such as American swaptions and the Two-Factor Model.
More details
Series
Edition
2., Aufl.
Language
English
Place of publication
Chichester
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Edition type
Revised edition
Illustrations
illustrations
Dimensions
Height: 23.6 cm
Width: 15.8 cm
Weight
910 gr
ISBN-13
978-0-471-97958-6 (9780471979586)
Schweitzer Classification
Other editions
Previous edition
Riccardo Rebonato
Interest-Rate Option Models
Book
07/1996
Wiley
€80.47
Article exhausted; check for reprint
Content
The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics. Appendices: elements of probability and stochastic calculus; the securities market.