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Interest-rate option models: understanding, analysing and using models for exotic interest-rate options. 2nd ed. (English) Zbl 0992.91500
Chichester: Wiley. xxiii, 521 p. (1998).
Publisher’s description: The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial quantities. It also presents a substantial new chapter devoted to this revolutionary modelling method. In this second edition, readers will also find important new data dealing with the securities markets and the probabilistic/stochastic calculus tools. Other changes include: a new chapter on the issues arising in the pricing of several classes of exotic interest-rate instruments; and insights from the BDT and the Brennan and Schwartz approaches which can be combined into a new class of ”generalised models”. Further details can be found on the links between mean-reversion and calibration for important classes of models.

MSC:
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G20 Derivative securities (option pricing, hedging, etc.)
91G30 Interest rates, asset pricing, etc. (stochastic models)
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