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Interest-Rate Option Models 2ND EDITION

Titre :

Interest-Rate Option Models 2ND EDITION

Caractéristiques :


Auteur(s) :REBONATO
Editeur :JOHN WILEY AND SONS LTD
Parution :12/1998
Langue :Anglais Anglais
Nbre de pages :546
ISBN :978-0-471-97958-6
Reliure :Hardcover
Prix :0.00 € ttc
Disponibilité :Définitivement indisponible

Couverture :


Interest-Rate Option Models 2ND EDITION

Résumé :

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 probabilistic/stochastic calculus tools. Other changes include: a new chapter on the issues arising in the pricing of several classes of exotic interest-rate instruments; and insights from the BDT and the Brennan and Schwartz approaches which can be combined into a new class of "generalised models". Further details can be found on the links between mean-reversion and calibration for the important classes of models.



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.

Table des matières :

THE NEED FOR YIELD CURVE OPTION PRICING MODELS.



Definition and Valuation of the Underlying Instruments.



Exotic Interest-Rate Instruments: Description and Valuation Issues.



A Statistical Approach to Yield Curve Models.



Correlation, Average and Instantaneous Volatilities, and Their Impact on the Pricing of LIBOR Options.



A Motivation for Yield Curve Models.



THE THEORETICAL TOOLS.



Establishing a Pricing Framework.



The Conditions of No-Arbitrage.



THE IMPLEMENTATION TOOLS.



Lattice Methods.



The Partial Differential Equation (PDE) Approach.



Monte Carlo Methods.



ANALYSIS OF SPECIFIC MODELS.



The CIR and Vasicek Models.



The Black Derman and Toy Model.



The Hull and White Approach.



The Longstaff and Schwartz Model.



The Brennan and Schwartz Model.



A Class of Arbitrage-Free Log-Normal Short-Rate Two-Factor Models.



The Heath Jarrow and Morton Approach.



The Brace-Gatarek-Musiela/Jamshidian Approach.



GENERAL TOPICS.



Affine Models.



Markovian amd Non-Markovian Interest-Rate Models.



Calibration to Cap Prices of Mean-Reverting Log-Normal Short-Rate Models.



Appendices.



Bibliography.



Index.