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Modern Pricing of Interest-Rate Derivatives

The Libor Market Model and Beyond

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Pages
488 pages
Reading time
18 hours

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Interest-rate modeling has seen significant advancements in practice and theory, yet communication between academia and practitioners has often been lacking. Riccardo Rebonato, leveraging his dual experience, aims to bridge this gap by integrating theoretical insights with practical trading applications. The book seeks to foster a more productive dialogue between these two communities, enhancing the development of research programs in the field.

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Modern Pricing of Interest-Rate Derivatives, Riccardo Rebonato

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Released
2002
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(Hardcover)
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