books by Riccardo Rebonato (engineering differently derivatives)

books by Riccardo Rebonato

books:

Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond

5 reviews
Riccardo Rebonato

Princeton University Press, 2002

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 cutting-edge Joshi-Rebonato ...

Volatility and Correlation
Riccardo Rebonato

John Wiley & Sons Inc, 2004

Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently

6 reviews
Riccardo Rebonato

Princeton University Press, 2007

Timely and insightful; best of its kind!
In my opinion this is the most valuable book on investment risk management of the past few years. Yet, no equations! However, with cogent arguments and literate prose, Rebonato lays out a case against the unfortunately prevalent misuse of statistical models in risk management. Second edition should fix the minor annoyances, like "manger" for "manager" (appearing several times) and "form" for ...

Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options ...

11 reviews
Riccardo Rebonato

John Wiley & Sons, 1998

Good on Several Levels
Rebonato covers the material on different levels, providing not only full mathematical formulations, but also the English version of the math along with explanations of significance of the topics covered. This book is excellent for those with the mathematical background to understand the math, and is easy to follow for those with less than rigorous mathematical background. I would recommend a ...

Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial ...

3 reviews
Riccardo Rebonato

John Wiley & Sons, 1999

a must read for anyone involved in derivative pricing
The Black-Scholes model for pricing FX and equity options has become ubiquitous. However, it is always used with a pinch of salt. In particular, traders typically use different volatilities when pricing options with different strikes, a practice which makes no sense in the context of the model, but is a very effective way of compensating for its deficiencies. This is known as the smile effect ...

Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance)

4 reviews
Riccardo Rebonato

Wiley, 2004

Excellent
There are many books on financial modeling currently available and each has a different approach to presenting the subject matter. Some endeavor to present rigorous mathematical formalism and real-world practical examples are kept to a minimum or are completely absent. Others, and there are many of these, only sketch the mathematical details and present many (usually trivial) examples using ...