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.
Dr Riccardo Rebonato is Director and Head of Research at Barclays Capital. He is responsible for the modelling, trading, and risk management of the European exotic interest-rate products. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. Before moving into investment banking he was Research Fellow in Physics at Corpus Christi College (Oxford). He has published papers in several academic journals in finance, and is a regular speaker at conferences worldwide
"Overall this book provides and excellent summary of the state of
knowledge of term structure modelling. It combines a solid academic
background with the practical experience of someone who works in
the financial sector."
, Alan White and John Hull, A-J Financial Systems, Canada#
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