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Interest-Rate Option Models : Understanding, Analyzing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) Second Edition Hardcover – 27 Mar 1998

3.5 out of 5 stars 2 customer reviews

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Hardcover, 27 Mar 1998
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Product details

  • Hardcover: 546 pages
  • Publisher: John Wiley & Sons; 2nd Revised edition edition (27 Mar. 1998)
  • Language: English
  • ISBN-10: 0471979589
  • ISBN-13: 978-0471979586
  • Product Dimensions: 15.7 x 3.7 x 24.2 cm
  • Average Customer Review: 3.5 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 599,475 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

Review

"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#

From the Publisher

Interest-Rate Option Models Second Edition
"Overall this book provides an 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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Format: Hardcover
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.
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Format: Hardcover
This is a book with good material and the author really knows the area well. This second edition has significant improvement over the first edition in two areas: (1) new usefule material and (2) the way things are presented. However, I am still very frustrated by countless paragraphs, and graphs that I have no clue even after I read, stared at them over and over. It's not a book that I enjoyed reading. Nevertheless, you will get reasonably enough out of it to justify spending the bucks.
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Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: 3.9 out of 5 stars 12 reviews
10 of 10 people found the following review helpful
5.0 out of 5 stars Excellent introduction to interest rate option models 10 Oct. 1999
By A Customer - Published on Amazon.com
Format: Hardcover
By restricting attention to interest-rate option models only, the author manages to give a thorough introduction to the subject, that goes way beyond the short chapters in standard textbooks such as Hull's or Wilmott's (I am not familiar with Miron and Swannell).
The first edition (the one that I'm familiar with) does indeed contain a number of irritating typos, many terms are first used then defined later, and the figures in particular can be greatly improved upon (I think they were produced by `Excel', which is not the best tool to produce high-quality figures for a serious technical book), however such glitches are typical of almost all books of such size and technical level.
The mathematics is not entirely trivial, but not too sophisticated either (a typical university science/engineering graduate should be able to handle it easily), and the author makes a valiant attempt to explain all relevant concepts from linear algebra to probability theory (I have to add that I didn't appreciate certain fast tricks like dropping the measure `dt' from the end of certain equations `to lighten the notation'. By doing that, one ends up with the wrong equation!)
As the author clearly indicates at the beginning, though reasonably self-contained, the book is by no means intended for a first course on option theory. However, for readers familiar with the basic facts of options and futures (at the level of Hull's book), this is a great book to read. I personally learnt an enormous lot from a first reading. I highly recommend it.
4 of 4 people found the following review helpful
5.0 out of 5 stars Good on Several Levels 11 July 2001
By Donald C Huffaker - Published on Amazon.com
Format: Hardcover
Rebonato covers the material on different levels, providing not only full mathematical formulations, but also the English version of the math along with explanations of significance of the topics covered. This book is excellent for those with the mathematical background to understand the math, and is easy to follow for those with less than rigorous mathematical background. I would recommend a good foundation in general option pricing (at least an introduction to Black-Scholes and lattice modeling) prior to reading this book. Futures, Options, and Swaps by Kolb and Options, Futures, and Other Derivatives by Hull would be good preliminary readings. Rebonato does a good job in discussing the various modeling techniques, along with the strengths and weaknesses of each.
3 of 3 people found the following review helpful
3.0 out of 5 stars a book with good material, though not easy to read 13 April 1999
By A Customer - Published on Amazon.com
Format: Hardcover
This is a book with good material and the author really knows the area well. This second edition has significant improvement over the first edition in two areas: (1) new usefule material and (2) the way things are presented. However, I am still very frustrated by countless paragraphs, and graphs that I have no clue even after I read, stared at them over and over. It's not a book that I enjoyed reading. Nevertheless, you will get reasonably enough out of it to justify spending the bucks.
4 of 5 people found the following review helpful
4.0 out of 5 stars A good book for implementation issues. 27 Mar. 1998
By A Customer - Published on Amazon.com
Format: Hardcover
This book provides a comprehensive discussion of the popular term structure models and their applications to derivatives pricing. The mathematics is quite heavy, but is well explained, and throughout the author describes the practical issues of implemention, as well as empirical studies of the various models performance. Overall, a well balanced book spanning both theory and practice. Unfortunately, as other reviewers have pointed out, the book is full of typos (it seems almost one a page) so that the reader has to spend time figuring out what the author really means. For example, in the section describing the pricing of discount bonds using the forward measure, there naturally arise three time parameters (current time, maturity, forward time). These parameters are arbitrarily interchanged in the text, making reading almost impossible. A worse mistake is in the authors description of the Cox-Ingersoll-Ross model where the author simultaneously assumes a zero market price of risk in the SDE but then introduces a non-zero market price of risk in the PDE. This leads to a strange bond price formula which is not preference free. All in all, a good book, but severely handicapped by typos.
4 of 5 people found the following review helpful
4.0 out of 5 stars Excellent exposition and depth of detail 1 July 1999
By mokoena@acsu.buffalo.edu - Published on Amazon.com
Format: Hardcover
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.
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