Home Volatility and Correlation: In the Pricing of Equity, Fx and Interest-Rate Options by Riccardo Rebonato (ISBN: 9780471899983)

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Volatility and Correlation: In the Pricing of Equity, Fx and Interest-Rate Options Hardcover - 1999

Name: Volatility and Correlation: In the Pricing of Equity, FX and Interest&acirc;&#128;&#147;Rate Options (Wiley Series in Financial Engineering)
Price: 11.26 GBP
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Author: Rebonato, Riccardo
ISBN: 9780471899983

by Riccardo Rebonato

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From the publisher

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.

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.

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.

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

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.

First line

The purpose of this chapter is threefold: first, I intend to explain the fundamental difference between the treatment of volatilities and correlations in the case of equities and FX on the one hand, and of interest rates on the other.

Details

Title Volatility and Correlation: In the Pricing of Equity, Fx and Interest-Rate Options
Author Riccardo Rebonato
Binding Hardcover
Edition First
Pages 360
Volumes 1
Language ENG
Publisher Wiley, Chichester, Sussex
Date December 27, 1999
Illustrated Yes
ISBN 9780471899983 / 0471899984
Weight 1.3 lbs (0.59 kg)
Dimensions 9.34 x 6.27 x 1.01 in (23.72 x 15.93 x 2.57 cm)
Library of Congress subjects Interest rate futures - Mathematical models, Options (Finance) - Mathematical models
Library of Congress Catalog Number 99-35173
Dewey Decimal Code 332.632

About the author

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. 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. 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.