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<P>1998年第二版，目前已经不出版了。ByRicardo Rebonato</P>
<P>24M, 6个压缩文件，扫描版</P>
<P><TR><TD class=ItemHead>Description:</P>
<P></TD></TR><TR><TD>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: <br><br>1. The Need for Yield Curve Option Pricing Models <br>2. The Theoretical Tools <br>3. The Implementation Tools <br>4. Analysis of Specific Models <br>5. General Topics <br><br>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. <br><br>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.</TD></TR> </P>
<P><TR><TD class=ItemHead>Contents of Interest-Rate Option Models</TD></TR> </P>
<P><TR><TD>Preface to the Second Edition <br><br>Preface to the First edition <br><br>List of Symbols and Abbreviations <br><br>Part One: The Need For Yield Curve Option Pricing Models <br>1. Definition and valuation of underlying instruments <br>2. Exotic interest-rate instruments: description and valuation Issues <br>3. A statistical approach to yield curve models <br>4. Correlation, average and instantaneous volatilities, and their impact on the pricing of LIBOR options <br>5. A motivation for yield curve models <br><br>Part Two: The Theoretical Tools <br>6 Establishing a pricing framework <br>7. The conditions for no-arbitrage <br><br>Part Three: The Implementation Tools <br>8. Lattice methods <br>9. The partial differential equation (PDE) approach <br>10. Monte Carlo approaches <br><br>Part Four: Analysis of Specific Models <br>11. The CIR and Vasicek Models <br>12. The Black Derman and Toy Model <br>13. The Hull and White approach <br>14. The Longstaff and Schwartz Model <br>15. The Brennan and Schwartz Model <br>16. A Class of Arbitrage-Free Log-Normal Short-Rate Two-Factor Models <br>17. The Heath Jarrow and Morton approach <br>18. The Brace-Gatarek-Musiela/Jamshidian approach <br><br>Part Five: General Topics <br>19. Affine Models <br>20. Markovian and non-Markovian interest-rate models <br>21. Calibration to cap prices of mean-reverting log-normal short-rate models <br><br>Appendix A Elements of Probability and Stochastic Calculus <br>Appendix B The Securities Market</TD></TR><br></P>

[此贴子已经被作者于2007-7-9 18:33:49编辑过]