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Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond Hardcover – 4 Nov 2002

5.0 out of 5 stars 1 customer review

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Product details

  • Hardcover: 486 pages
  • Publisher: Princeton University Press (4 Nov. 2002)
  • Language: English
  • ISBN-10: 0691089736
  • ISBN-13: 978-0691089737
  • Product Dimensions: 15.6 x 2.7 x 23.4 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 1,189,344 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

Review

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


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

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

From the Back Cover

"Dr. Rebonato has blended technical mastery with many years of practical experience to produce what should become the standard handbook for anyone wanting to value, hedge or control the risks of interest rate derivatives."--Ian Cooper, Professor of Finance, London Business School

"This eagerly awaited book fills an important need. It covers the pressing but technically difficult issues of how to implement 'market' models of the term structure for the purposes of valuing and hedging interest-rate-sensitive derivatives. Dr. Rebonato is a leading expert in the field. His treatment is exceptionally lucid as well as authoritative."--Stewart Hodges, University of Warwick

"Riccardo Rebonato succeeds admirably in combining an accessible exposition of the foundations of the LIBOR market model framework with extensive guidance on the calibration and implementation of the models in practice. The book's many insights into the dynamics of fixed income markets and models should provide industry professionals with valuable tools and offer academics a rare glimpse of the market as viewed by a practitioner-theorist, all presented in the author's elegant and lively style."--Paul Glasserman, Columbia University

"This book is a significant contribution to the field. It offers plenty of empirical work and case studies illustrating the application of the models each step of the way. Unlike other treatments, it emphasizes the market rationale for modeling choices, and is not driven by purely mathematical considerations. Reference is continually made to market features, the behaviour of instruments, and empirical features, with all of this backed up by the author's considerable experience."--Nick Webber, University of Warwick

"There are many books that get bogged down in mathematical technicalities before they get to the point and are therefore of little use to practitioners. Rebonato takes the opposite approach: he gets to the point. People working in the mathematical finance industry will love this book."--Jeff Dewynne, Oxford University

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By A Customer on 17 Jan. 2003
Format: Hardcover
My avid reading kept jostling out superb hot ideas from this book. Rebonato carries out a comprehensive survey of the LIBOR market model. He tackles historical background, calibration, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
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Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: HASH(0x8f9deb70) out of 5 stars 6 reviews
21 of 26 people found the following review helpful
HASH(0x8f89c204) out of 5 stars rebonato does it again 17 Jan. 2003
By A Customer - Published on Amazon.com
Format: Hardcover
My avid reading kept jostling out superb hot ideas from this book. Rebonato carries out a comprehensive survey of the LIBOR market model. He tackles historical background, calibration, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
1 of 1 people found the following review helpful
HASH(0x8fdae084) out of 5 stars Best on the subject 25 Jan. 2012
By book junkie - Published on Amazon.com
Format: Hardcover Verified Purchase
This book is hands down the best I have read on the subject. Unlike many others who just list a bunch or definitions, theorems and the like, Rebonato does not go into the mathematical justification of every single point, but rather concentrates on the more important practical aspects like real-life implementation and calibration. Don't get me wrong, you WILL need to understand some serious math, but the book goes beyond that.

Being a physicist, it reminds me of Feynman's books which, although they cover the same material as many others, give you that extra valuable insight into how all that math actually relates to what happens in practice.

Worth every penny.
HASH(0x90ac5c00) out of 5 stars Five Stars 20 April 2016
By S. Dutta - Published on Amazon.com
Format: Hardcover Verified Purchase
It's great as expected.
1 of 5 people found the following review helpful
HASH(0x90dd1c24) out of 5 stars this is not a book for beginner 21 Mar. 2008
By Jun Hong - Published on Amazon.com
Format: Hardcover
I bought this book two years ago and couldn't follow it. After reading other books I found in surprise that I understand what he is talking about now (books not about the same subjects though). The book is well written and I finished the first five chapters. It has many scary formula but the good thing is the author does provide simple examples. It would be even better if he could provide some simple spread sheets for people to play with. I bet he has them. Formula are for mathematicians (I got a master in Math but still I don't feel easy at reading formula. You have to keep one thinking what i is and what k is and they location in the matrix and so on). Well the first 5 chapter is all about covariance matrix and no arbitrage drifts, I bet the later chapters have sophisticated stuff ... it will keep my commute to new york interesting
6 of 61 people found the following review helpful
HASH(0x8f9dcf18) out of 5 stars why bother 14 Feb. 2003
By A Customer - Published on Amazon.com
Format: Hardcover
It's hard to believe a reviewer with such a myopic view of Derivatives pricing could go through the whole book, understood it and found time to rate it. Mindblowing waste of time !
Few hundreds years ago, he would have recommended burning the Madmen claiming the earth was round.
Anyway, while Derivatives Pricing achieves little for the welfare of mankind, the recent need for assets based on ever complex market scenarios calls for a more refined pricing methodology. There no supply and demand here, only customers who want hedge/trade/tradge assets /liabilities and traders who need to make sure their firms don't go burst when market move.
The author answers that demand by formatting and publishing his papers.
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