Interest-Rate Option Models (Wiley Series in Financial Engineering)

by Riccardo Rebonato

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An interest rate option is a contract giving the beneficiary the right but not an obligation to pay or receive a specific interest rate on a predetermined principle for a set interval. Writing in accessible and non-technical language, the author reviews all the commonly-used interest rate option models, showing how they can be applied and implemented. This book is aimed at market professionals and postgraduate students internationally, working with interest rate dependent options, who find a barrier to entry in the very technical nature of current academic and research literature. Mathematical derivations of the models are only reported in so far as they enhance the understanding of the model - the emphasis is on accessibility and ease of understanding.
  • ISBN10 0471965693
  • ISBN13 9780471965695
  • Publish Date 31 July 1996
  • Publish Status Out of Print
  • Out of Print 13 May 1998
  • Publish Country GB
  • Publisher John Wiley and Sons Ltd
  • Imprint John Wiley & Sons Ltd
  • Format Hardcover
  • Pages 256
  • Language English