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Volatility and Correlation (Wiley Financial Engineering) [Englisch] [Gebundene Ausgabe]

Riccardo Rebonato (Autor)
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Produktinformation

  • Gebundene Ausgabe: 360 Seiten
  • Verlag: Wiley & Sons; Auflage: 1 (Dezember 1999)
  • Sprache: Englisch
  • ISBN-10: 0471899984
  • ISBN-13: 978-0471899983
  • Größe und/oder Gewicht: 23,7 x 15,9 x 2,6 cm
  • Durchschnittliche Kundenbewertung: 2.0 von 5 Sternen  Alle Rezensionen anzeigen (2 Kundenrezensionen)
  • Amazon Bestseller-Rang: Nr. 1.680.538 in Englische Bücher (Siehe Top 100 in Englische Bücher)

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Produktbeschreibungen

Pressestimmen

"In this book Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. In his usual intuitive style he critically examine a variety of approaches to equity, currency and interest-rate options. This book is full of practical insights that reflect a wealth of experience in applying these models. The book is a 'must read' for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.", Professor Ian Cooper, , London Business School#"This book is a blend of the theoretical, the practical, and the abstract, but always staying in contact with reality. I don't agree with everything in it, but it taught me a thing or two. Read it carefully and thoroughly.", Paul Wilmott, , Derivatives#"Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion. He rightly emphasises the financial and economic assumptions which underpin the models, and gives salutary warnings against models which overfit the current structure of prices but which perform poorly in predicting future behaviour. A rare combination of intellectual insight and practical common sense.

Selected 3D graphs from the book are reproduced in colour at ftp.wiley.co.uk/pub/books/rebonato", Anthony Neuberger, Associate Professor, Institute of Finance and Accounting, London Business School#

Book Description

The next step in the evolution of option price modelingOver the past decade, mathematical modeling has become the norm for traders wishing to price options. In his new book, Riccardo Rebonato takes the science of option pricing models and steers it towards its next major development through the practical and subtle use of the concepts of volatility and correlation. Using case studies to explain the practical application of complex theories, Rebonato assesses the existing models and introduces several new and original approaches to option modeling.
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Einleitungssatz
The purpose of this chapter is threefold: first, I intend to explain the fundamental difference between the treatment of volatilities and correlations in the case of equities and FX on the one hand, and of interest rates on the other. Lesen Sie die erste Seite
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1 von 1 Kunden fanden die folgende Rezension hilfreich
Von Ein Kunde
Format:Gebundene Ausgabe
Overall, I found this book interesting. There is nothing really new or unknown to quants or researchers working in this field but much of the material has actually not been written down in any other book, which makes this book useful.

There are some important points about hedging and pricing derivatives in a non Black Scholes world which are important but are nowhere to be seen in any textbook on options and/or mathematical finance. The author correctly stresses the distinction between real-world and implied statistical quantities.

Also, he gives a lot of common sense comments on questions like hedging with smiles, which are very helpful. Topics like changes of numeraire which are exposed in notoriously obscure ways in many mathematical finance textbooks are explained in simple terms with EXAMPLES. Examples illustrate eveyr point and this is perhaps what is lacking in other textbooks. I appreciated this a lot. Mathematical rigor is not the strong point of this book but I think it is an advantage rather than a drawback: it allows the reader to focus on important points which are not the mathematical ones in fact. However, there are some mistakes in the text from time to time.

However, there is something I feel very unconfortable with: the author does not mention/cite other peoples work in this field and seems to attribute to himself most of the results explained in the book. Anybody who has been working in the field in the last decade can easily associate lots of names with each of the points raised in the book but these names are nowhere to be seen. Does the author have a very limited view of the literature or is he deliberately not mentioning other peoples work? Perhaps a mixture of both.

War diese Rezension für Sie hilfreich?
Von a reader
Format:Gebundene Ausgabe
This book brings together many of the recent publications concerning the volatility surface. The work is interesting and points out many of the well known problems with pricing options in a non Black Scholes world. As is often the case with financial literature, it is more interesting from an academic perspective than from a practical one.
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Amazon.com:  3 Rezensionen
38 von 41 Kunden fanden die folgende Rezension hilfreich
A useful book with lots of examples. 18. Juli 2000
Von Ein Kunde - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe
Overall, I found this book interesting. There is nothing really new or unknown to quants or researchers working in this field but much of the material has actually not been written down in any other book, which makes this book useful.

There are some important points about hedging and pricing derivatives in a non Black Scholes world which are important but are nowhere to be seen in any textbook on options and/or mathematical finance. The author correctly stresses the distinction between real-world and implied statistical quantities.

Also, he gives a lot of common sense comments on questions like hedging with smiles, which are very helpful. Topics like changes of numeraire which are exposed in notoriously obscure ways in many mathematical finance textbooks are explained in simple terms with EXAMPLES. Examples illustrate eveyr point and this is perhaps what is lacking in other textbooks. I appreciated this a lot. Mathematical rigor is not the strong point of this book but I think it is an advantage rather than a drawback: it allows the reader to focus on important points which are not the mathematical ones in fact. However, there are some mistakes in the text from time to time.

However, there is something I feel very unconfortable with: the author does not mention/cite other peoples work in this field and seems to attribute to himself most of the results explained in the book. Anybody who has been working in the field in the last decade can easily associate lots of names with each of the points raised in the book but these names are nowhere to be seen. Does the author have a very limited view of the literature or is he deliberately not mentioning other peoples work? Perhaps a mixture of both.

40 von 47 Kunden fanden die folgende Rezension hilfreich
a must read for anyone involved in derivative pricing 4. Januar 2000
Von Ein Kunde - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe
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 from the shape of the volatility graph.

Rebonato's new book sets out to examine these deficiencies and presents various alternative models. For each model, he examines the validity of its assumptions and predictions, convincingly demonstrating that fear of jumps is a major cause of smiles.

The other major theme of the book is that volatility and correlation are quite different objects for interest rate derivatives than for FX and equity options. In the context of BGM models, he shows that the shape of the volatility function of forward rates is the major cause of decorrelation, rather than actual instantaneously uncorrelated movements.

This book is not a first book on mathematical finance but it is accessible and is a must read for anyone involved in the pricing of derivative products.

8 von 27 Kunden fanden die folgende Rezension hilfreich
Fine, but nothing particularly new or conclusive. 16. März 2000
Von a reader - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe
This book brings together many of the recent publications concerning the volatility surface. The work is interesting and points out many of the well known problems with pricing options in a non Black Scholes world. As is often the case with financial literature, it is more interesting from an academic perspective than from a practical one.
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