Interest-rate option models: understanding, analysing and using models for exotic interest-rate options

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John Wiley & Sons, Sep 12, 1996 - Business & Economics - 372 pages
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An accessible, first-rate overview of interest rate dependent options for traders and institutional investors Until now market professionals seeking to exploit the profit potential of interest rate dependent options were forced to hunt through esoteric journals for a crumb or two of practical knowledge about their use. This accessible book narrows the information gap. Written in easy-to-follow, non-technical language, it logically reviews all the most commonly used interest rate option models, showing how each one can be applied and implemented for specific market applications. DR. RICARDO REBONATO (London, England) is head of Research, Debt Capital Markets at Barclays de Zoete Wedd Ltd.

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Definition and valuation of the underlying instruments
a statistical approach
A motivation for yield curve models

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About the author (1996)

Rebonato is director and head of research at BZW.

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