Interest-rate option models : understanding, analysing and using models for exotic interest-rate options

Interest-rate option models : understanding, analysing and using models for exotic interest-rate options The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. It also presents a substantial new chapter devoted to this revolutionary modelling method. In this second edition, readers will also find important new data dealing with the securities market and the probabilisti

Authors: Rebonato R.Pages: 281     Year: 1998

Tags: exotic models option analysing understanding interest-rate options interest-rate
   

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