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In recent years, interestrate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer.Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interestrate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness.Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochasticvolatility, displaceddiffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer,
birth defects, or other reproductive harm.
As a finance professional, ‘Modern Pricing of Interest Rate Derivatives’ has been an invaluable resource. The insights into market models are seriously impressive. The only downside was that it took longer to arrive than I expected, but the content made it worth the wait.
D
David Kim
Great resource for professionals
As a finance professional, ‘Modern Pricing of Interest Rate Derivatives’ has been an invaluable resource. The insights into market models are seriously impressive. The only downside was that it took longer to arrive than I expected, but the content made it worth the wait.
O
Omar Hassan
Solid introduction to derivatives
I bought this book for my finance course, and it has proven to be a solid introduction to interest rate derivatives. The writing is generally accessible, though I struggled with a few chapters. Still, it’s a useful addition to any finance library!
O
Omar Hassan
Solid introduction to derivatives
I bought this book for my finance course, and it has proven to be a solid introduction to interest rate derivatives. The writing is generally accessible, though I struggled with a few chapters. Still, it’s a useful addition to any finance library!
N
Nina Gupta
I expected more clarity
While the content is undoubtedly valuable, I found some sections to be unnecessarily technical. It feels like it’s written more for experts than beginners. A bit disappointing given the hype around it. Would have preferred more examples to illustrate concepts.
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⚠️ California Proposition 65 Warning: Some products sold on this website may expose you to chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm. For more information, visit www.P65Warnings.ca.gov.
