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Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond

By: Riccardo Rebonato
Binding: Hardcover
Publisher: Princeton University Press
ISBN: 0691089736
ISBN-13: 9780691089737
Released: 04 Nov 2002
RRP: £56.00
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Customer Reviews

rebonato does it again - By: , 18 Jan 2003
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, & effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile & 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.