c******l
发帖数: 1 | 1 Rubinstein (Berkeley)
Schwatz (UCLA)
Brennen (UCLA)
Longstaff (UCLA)
Rebonato (UK)
Wilmott (UK)
White, Allen (Canada)
Heath (CMU)
Broadie (Columbia)
Criss, Neil (NYU)
...
I will think about more... |
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i****e
发帖数: 78 | 2 I am not the expert in this area, so I may not be able to
answer all your questions. There is a good book may be able to help you:
Modern Pricing of Interest-Rate Derivatives, by Riccardo Rebonato
There are concrete examples and procedures in this book may help you.
1) Yes, reduce from 3 factor to 2 factor model is a way to reduce
model parameters.
2) Swaptions contains correlation information, it
should be enough if you want to calibrate correlation model parameters.
3) for example, if you have |
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t**********a
发帖数: 166 | 3 Interest Rate Models - Theory and Practice By Damiano Brigo, Fabio Mercurio
Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and
Beyond by Riccardo Rebonato |
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w********r
发帖数: 290 | 4 Are you guys talking about "Riccardo Rebonato"? |
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k***t
发帖数: 57 | 6 不知这个单子的面向对象是什么
大概看了看 似乎列了40来本 不知道看到哪个程度可以应付quan的面试 又或后面的
hardcore是工作后的进阶的
本人fresh phd还没毕业 大概还有一年多的时间 理工背景 统计有时用用 不知道如何
利用这个书单
谁能指点一下吧 谢了先
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0.0 First steps -- General:
A. Black Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbull
C. Introduction to Mathematical Finance: Discrete ... 阅读全帖 |
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l****o
发帖数: 2909 | 7 Please read the book volatility and correaltion by Rebonato @ RBS. |
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A********a
发帖数: 133 | 8 Piterbarg and Anderson's three volumes for interest rate modeling is too
difficult as an starter, better begin with something simpler, like Serrat
and Tuckman's book, or Rebonato's book, |
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t********t
发帖数: 1264 | 9 所以很多人都回学校了或者在学校兼着职，等着全身而退 Rebonato Lipton Gatheral
Derman Brigo Joshi Almgren... 前两年还好回，再过几年就不好说了 |
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