- Series: Wiley Series in Financial Engineering (Book 78)
- Hardcover: 546 pages
- Publisher: Wiley; 2 edition (May 1998)
- Language: English
- ISBN-10: 0471979589
- ISBN-13: 978-0471979586
- Product Dimensions: 6.2 x 1.5 x 9.5 inches
- Shipping Weight: 2 pounds
- Average Customer Review: 12 customer reviews
- Amazon Best Sellers Rank: #2,255,687 in Books (See Top 100 in Books)
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Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) 2nd Edition
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"Overall this book provides and excellent summary of the state of knowledge of term structure modelling. It combines a solid academic background with the practical experience of someone who works in the financial sector."
, Alan White and John Hull, , A-J Financial Systems, Canada#
From the Publisher
Written by an acknowledged expert in option modeling, this extensively revised and expanded Second Edition explains option models at both the theoretical and practical levels. It introduces readers to the best models used by traders globally, describes how they are generally implemented, and provides pointers on how to select and use the best models for specific trading circumstances.
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Top customer reviews
The first edition (the one that I'm familiar with) does indeed contain a number of irritating typos, many terms are first used then defined later, and the figures in particular can be greatly improved upon (I think they were produced by `Excel', which is not the best tool to produce high-quality figures for a serious technical book), however such glitches are typical of almost all books of such size and technical level.
The mathematics is not entirely trivial, but not too sophisticated either (a typical university science/engineering graduate should be able to handle it easily), and the author makes a valiant attempt to explain all relevant concepts from linear algebra to probability theory (I have to add that I didn't appreciate certain fast tricks like dropping the measure `dt' from the end of certain equations `to lighten the notation'. By doing that, one ends up with the wrong equation!)
As the author clearly indicates at the beginning, though reasonably self-contained, the book is by no means intended for a first course on option theory. However, for readers familiar with the basic facts of options and futures (at the level of Hull's book), this is a great book to read. I personally learnt an enormous lot from a first reading. I highly recommend it.
The book is suitable for people whose lives are about fixed income securities. You have to love interest rate products to enjoy this book. But all in all, this is one book that is worth reading and using as a reference.