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Title: Interest-Rate Option Models : Understanding, Analysing and Using Models for Exotic Interest-Rate Options by Riccardo Rebonato ISBN: 0-471-97958-9 Publisher: John Wiley & Sons Pub. Date: May, 1998 Format: Hardcover Volumes: 1 List Price(USD): $125.00 |
Average Customer Rating: 4.18 (11 reviews)
Rating: 5
Summary: Most comprehensive book wirtten on this topic
Comment: It is really a pleasure to read this book. While covering the most important topics it remains focused on the essentials. Whenever you have to deal with a concept in the literature about fixed income instruments you are not aware off Rebonato is always a good reference to start with, similar to Hull's or Wilmott's book.
Rebonato addresses consequently practical implementation issues (although not coevering the technical details of the implementation algorithms - read the original papers for that!) that are frequently missing in so many academic publications. This makes it to one of my favorit books on my book shelf. I am looking forward to his next book on intrest rate derivatives.
Rating: 4
Summary: Excellent exposition and depth of detail
Comment: This book requires a strong background in mathematical finance and tremendous amount of patience. I used this book for an advanced independent study course at SUNY Buffalo. The exposition in the first five chapters is clear and the tone is very authoritative. The only problem is that the author does everything not to duplicate well-known and well-written ideas that appear in the classic work of Miron and Swannel, "Pricing and Hedging Swaps", to name one source. In addition, the author could have used practical modelling examples that incorporate market data. This is the main weakness of the book. See Miron and Swanell, for comparison purposes.
The book is suitable for people whose lives are about fixed income securities. You have to love interest rate products to enjoy this book. But all in all, this is one book that is worth reading and using as a reference.
Rating: 4
Summary: Great for intuitive understanding
Comment: The book places more emphasis on an intuitive grasp of the complex mathematics involved, though this must mean giving up rigour to an extent.
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Title: Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond by Riccardo Rebonato ISBN: 0691089736 Publisher: Princeton Univ Pr Pub. Date: 04 November, 2002 List Price(USD): $80.00 |
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Title: Interest Rate Models by Damiano Brigo, Fabio Mercurio ISBN: 3540417729 Publisher: Springer Verlag Pub. Date: 09 August, 2001 List Price(USD): $71.95 |
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Title: Modelling Fixed Income Securities and Interest Rate Options (2nd Edition) by Robert A. Jarrow ISBN: 0804744386 Publisher: Stanford Univ Pr Pub. Date: August, 2002 List Price(USD): $65.00 |
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Title: Volatility and Correlation : In the Pricing of Equity, FX and Interest-Rate Options by Riccardo Rebonato ISBN: 0471899984 Publisher: John Wiley & Sons Pub. Date: 07 January, 2000 List Price(USD): $125.00 |
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Title: Interest Rate Modelling: Financial Engineering by Jessica James, Nick Webber ISBN: 0471975230 Publisher: John Wiley & Sons Pub. Date: 15 January, 2000 List Price(USD): $115.00 |
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