Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond Hardcover - 2002 - 1st Edition

From the rear cover

"Dr. Rebonato has blended technical mastery with many years of practical experience to produce what should become the standard handbook for anyone wanting to value, hedge or control the risks of interest rate derivatives."--Ian Cooper, Professor of Finance, London Business School

"This eagerly awaited book fills an important need. It covers the pressing but technically difficult issues of how to implement 'market' models of the term structure for the purposes of valuing and hedging interest-rate-sensitive derivatives. Dr. Rebonato is a leading expert in the field. His treatment is exceptionally lucid as well as authoritative."--Stewart Hodges, University of Warwick

"Riccardo Rebonato succeeds admirably in combining an accessible exposition of the foundations of the LIBOR market model framework with extensive guidance on the calibration and implementation of the models in practice. The book's many insights into the dynamics of fixed income markets and models should provide industry professionals with valuable tools and offer academics a rare glimpse of the market as viewed by a practitioner-theorist, all presented in the author's elegant and lively style."--Paul Glasserman, Columbia University

"This book is a significant contribution to the field. It offers plenty of empirical work and case studies illustrating the application of the models each step of the way. Unlike other treatments, it emphasizes the market rationale for modeling choices, and is not driven by purely mathematical considerations. Reference is continually made to market features, the behaviour of instruments, and empirical features, with all of this backed up by the author's considerable experience."--Nick Webber, University of Warwick

"There are many books that get bogged down in mathematical technicalities before they get to the point and are therefore of little use to practitioners. Rebonato takes the opposite approach: he gets to the point. People working in the mathematical finance industry will love this book."--Jeff Dewynne, Oxford University