Dieser Titel wurde ersetzt durch:
- Volatility and Correlation (978-0-470-09140-1) - Digitalprodukt / E-Book
×
![]( "Buchcover ISBN 9780470842782")
"In this book Dr Rebonato brings his penetrating eye to bear onoption pricing and hedging. In his usual intuitive style hecritically examine a variety of approaches to equity, currency andinterest-rate options. This book is full of practical insights thatreflect a wealth of experience in applying these models. The bookis a 'must read' for those who already know the basics of optionsand are looking for an edge in applying the more sophisticatedapproaches that have recently been developed.„, Professor IanCooper, , London Business School#“This book is a blend of thetheoretical, the practical, and the abstract, but always staying incontact with reality. I don't agree with everything in it, but ittaught me a thing or two. Read it carefully and thoroughly.„, PaulWilmott, , Derivatives#“Volatility and correlation are at the verycore of all option pricing and hedging. In this book, RiccardoRebonato presents the subject in his characteristically elegant andsimple fashion. He rightly emphasises the financial and economicassumptions which underpin the models, and gives salutary warningsagainst models which overfit the current structure of prices butwhich perform poorly in predicting future behaviour. A rarecombination of intellectual insight and practical commonsense.
Selected 3D graphs from the book are reproduced in colour atftp. wiley. co. uk/pub/books/rebonato", Anthony Neuberger, AssociateProfessor, Institute of Finance and Accounting, London BusinessSchool#
Volatility and Correlation
In the Pricing of Equity, FX and Interest-Rate Options
von Riccardo RebonatoIn his new book, Riccardo Rebonato introduces financialprofessionals to the practical and subtle use of the concepts ofvolatility (the degree of randomness in a price movement) andcorrelation (the relationship between the changes in value of twofinancial assets) in the pricing of complex options.
By explaining this approach in clear and accessible terms, theauthor provides traders, risk managers, financial professionals andstudents with the tools to undertake an effective investigation ofoption pricing models both at the qualitative and quantitativelevel.
Dr Riccardo Rebonato is Head of Group Market Risk for the NatWestGroup, London, UK. He holds Doctorates in Nuclear Engineering andScience of Materials/Solid State Physics. He has recently beenappointed Lecturer in Mathematical Finance at OxfordUniversity.
Prior to joining NatWest, he was, at the same time, Head of theComplex Derivatives Trading desk and of the Complex DerivativesResearch Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus ChristiCollege, Oxford
He is the author of the highly successful book Interest-Rate OptionModels (Wiley, second edition 1998) and has published severalpapers on finance in academic journals. He is a regular speaker atconferences world-wide.
By explaining this approach in clear and accessible terms, theauthor provides traders, risk managers, financial professionals andstudents with the tools to undertake an effective investigation ofoption pricing models both at the qualitative and quantitativelevel.
Dr Riccardo Rebonato is Head of Group Market Risk for the NatWestGroup, London, UK. He holds Doctorates in Nuclear Engineering andScience of Materials/Solid State Physics. He has recently beenappointed Lecturer in Mathematical Finance at OxfordUniversity.
Prior to joining NatWest, he was, at the same time, Head of theComplex Derivatives Trading desk and of the Complex DerivativesResearch Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus ChristiCollege, Oxford
He is the author of the highly successful book Interest-Rate OptionModels (Wiley, second edition 1998) and has published severalpapers on finance in academic journals. He is a regular speaker atconferences world-wide.
