Volatility and Correlation

Title: Volatility and Correlation

Author: Riccardo Rebonato

Binding: Hardcover

EAN: 9780471899983

Condition: Good

Please note: Below is a general description of how we classify our condition types. If you would like a more precise picture or have specific questions, please send us a message and we will be happy to look into it for you.

Condition descriptions:
- As New: Hardly any signs of use, almost as new.
- Good: May show minor signs of use, such as some discoloration or a name on the endpapers, but generally no underlining or notes in the text.
- Fair: Book in fair condition. May show signs of use, such as discoloration, reading creases in spine, underlinings, notes, light soiling at edges, dog-ears, or a crooked spine.
- New: Book is new.

Description:
In his new book, Riccardo Rebonato introduces financial professionals to the practical and subtle use of the concepts of volatility (the degree of randomness in a price movement) and correlation (the relationship between the changes in value of two financial assets) in the pricing of complex options.

By explaining this approach in clear and accessible terms, the author provides traders, risk managers, financial professionals and students with the tools to undertake an effective investigation of option pricing models both at the qualitative and quantitative level.

Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University.

Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford

He is the author of the highly successful book Interest-Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences worldwide.