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Interest-Rate Option Models

By (author) Riccardo Rebonato
Format: Hardback
Publisher: John Wiley and Sons Ltd, Chichester, United Kingdom
Imprint: John Wiley & Sons Ltd
Published: 31st Jul 1996
Dimensions: w 162mm h 236mm d 32mm
Weight: 770g
ISBN-10: 0471965693
ISBN-13: 9780471965695
Barcode No: 9780471965695
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.

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