Õ Read ☆ Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato ↠ eBook or Kindle ePUB

That means this book takes its place alongside books written to prove God was against interracial marriage and societal integration. He is an interesting man.The book has a lot of unnecessary fluff but I enjoyed reading about this amazing man. Kudos to her for the idea of putting this man's life in print. Therefore, the capital input is the main contribut

• Title : Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
• Author : Riccardo Rebonato
• Rating : 4.92 (730 Vote)
• Publish : 2016-10-25
• Format : Hardcover
• Pages : 488 Pages
• Asin : 0691089736
• Language : English

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I would therefore recommend it to everyone who has any interest in the fascinating universe of fixed-income derivatives."--Alireza Javaheri, Quantitative Finance. I thoroughly enjoyed this book since it allowed me to discover a whole new world in a fast and painless fashion. His ideas are conveyed in a brief and clear manner. "Rebonato's writing style is probably the most elegant I have ever seen in a quantitative finance book

This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.. In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer.Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness.Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. As a result, their research programs have often develop