Volatility and Correlation In the Pricing of Equity, FX, and Interest-Rate Options
| Author/creator | Rebonato, Riccardo Author |
| Format | Electronic |
| Publication Info | Hoboken : John Wiley & Sons, Incorporated |
| Description | 360 p. ill 23.500 x 016.000 cm. |
| Supplemental Content | Full text available from eBooks on EBSCOhost |
| Subjects |
| Series | Wiley Series in Financial Engineering Ser. Vol. 15 |
| Summary | Annotation In his new book, Riccardo Rebonato introduces financial professionals to the practical and subtle use of the concepts of volatility (the degree of randomness in a price movement) and correlation (the relationship between the changes in value of two financial assets) in the pricing of complex options.<br /><br />By explaining this approach in clear and accessible terms, the author provides traders, risk managers, financial professionals and students with the tools to undertake an effective investigation of option pricing models both at the qualitative and quantitative level.<br /><br />Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University.<br /><br />Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford<br /><br />He is the author of the highly successful book Interest–Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences world–wide. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 99035173 |
| ISBN | 9780471899983 |
| ISBN | 0471899984 (Trade Cloth) Out of Print |
| Standard identifier# | 9780471899983 |
| Stock number | 00028608 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |