Customer Reviews

rebonato does it again - By: , 17 Jan 2003
My avid reading kept jostling out superb hot ideas from this book. Rebonato carries out a comprehensive survey of the LIBOR market model. He tackles historical background, calibration, & effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile & skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.

If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.