Modern Pricing of InterestRate Derivatives: The LIBOR Market Model and Beyond
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
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rebonato does it again,
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, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cuttingedge JoshiRebonato stochasticvol, displaceddiffusion LIBOR market model.
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
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Best on the subject,
This book is hands down the best I have read on the subject. Unlike many others who just list a bunch or definitions, theorems and the like, Rebonato does not go into the mathematical justification of every single point, but rather concentrates on the more important practical aspects like reallife implementation and calibration. Don’t get me wrong, you WILL need to understand some serious math, but the book goes beyond that.
Being a physicist, it reminds me of Feynman’s books which, although they cover the same material as many others, give you that extra valuable insight into how all that math actually relates to what happens in practice.
Worth every penny.
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this is not a book for beginner,
I bought this book two years ago and couldn’t follow it. After reading other books I found in surprise that I understand what he is talking about now (books not about the same subjects though). The book is well written and I finished the first five chapters. It has many scary formula but the good thing is the author does provide simple examples. It would be even better if he could provide some simple spread sheets for people to play with. I bet he has them. Formula are for mathematicians (I got a master in Math but still I don’t feel easy at reading formula. You have to keep one thinking what i is and what k is and they location in the matrix and so on). Well the first 5 chapter is all about covariance matrix and no arbitrage drifts, I bet the later chapters have sophisticated stuff … it will keep my commute to new york interesting
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