1998年第二版，目前已经不出版了。By Ricardo Rebonato

24M, 6个压缩文件，扫描版

Description:

Interest Rate Option Models presents in a unified way the theoretical and practical issues involved in the use of models for pricing of exotic interest rate options. Despite the fact that relatively complex mathematical concepts are introduced and used in the book, financial intuition rather than mathematical rigour is emphasised throughout. The book is split into five distinct parts:

1. The Need for Yield Curve Option Pricing Models
2. The Theoretical Tools
3. The Implementation Tools
4. Analysis of Specific Models
5. General Topics

In this second edition readers will find a re-assessment of the models presented in the first edition in light of the new developments of modelling imperfect correlation between financial quantities. The authors also present a substantial new chapter devoted to this revolutionary modelling method, as well as new data dealing with the securities markets and the probabilistic/stochastic calculus models.

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 Breman 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.

Contents of Interest-Rate Option Models

Preface to the Second Edition

Preface to the First edition

List of Symbols and Abbreviations

Part One: The Need For Yield Curve Option Pricing Models
1. Definition and valuation of underlying instruments
2. Exotic interest-rate instruments: description and valuation Issues
3. A statistical approach to yield curve models
4. Correlation, average and instantaneous volatilities, and their impact on the pricing of LIBOR options
5. A motivation for yield curve models

Part Two: The Theoretical Tools
6 Establishing a pricing framework
7. The conditions for no-arbitrage

Part Three: The Implementation Tools
8. Lattice methods
9. The partial differential equation (PDE) approach
10. Monte Carlo approaches

Part Four: Analysis of Specific Models
11. The CIR and Vasicek Models
12. The Black Derman and Toy Model
13. The Hull and White approach
14. The Longstaff and Schwartz Model
15. The Brennan and Schwartz Model
16. A Class of Arbitrage-Free Log-Normal Short-Rate Two-Factor Models
17. The Heath Jarrow and Morton approach
18. The Brace-Gatarek-Musiela/Jamshidian approach

Part Five: General Topics
19. Affine Models
20. Markovian and non-Markovian interest-rate models
21. Calibration to cap prices of mean-reverting log-normal short-rate models

Appendix A Elements of Probability and Stochastic Calculus
Appendix B The Securities Market

[此贴子已经被作者于2007-7-9 18:33:49编辑过]