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Summary: Excellent introduction to interest rate option models
Review: By restricting attention to interest-rate option models only, the author manages to give a thorough introduction to the subject, that goes way beyond the short chapters in standard textbooks such as Hull's or Wilmott's (I am not familiar with Miron and Swannell). 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.
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Summary: I am not quoting Oscar Wilde
Review: Good nowhere, and original nowher
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Summary: Most comprehensive book wirtten on this topic
Review: It is really a pleasure to read this book. While covering the most important topics it remains focused on the essentials. Whenever you have to deal with a concept in the literature about fixed income instruments you are not aware off Rebonato is always a good reference to start with, similar to Hull's or Wilmott's book. Rebonato addresses consequently practical implementation issues (although not coevering the technical details of the implementation algorithms - read the original papers for that!) that are frequently missing in so many academic publications. This makes it to one of my favorit books on my book shelf. I am looking forward to his next book on intrest rate derivatives.
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Summary: Thank you for the feedback and a few comments
Review: It was a pleasure to find several comments about my book 'Interest-Rate Option Models'. I would like to thank the readers for the kind words of apreciation, and to address some of the not-so-postive points they raise. 1. Yes, indeed, the book is about fixed-income detivatives, and nothing else. If you are looking for a general treatment of option pricing you might be disappointed, and there are excellent books that cover this wider topic. My title, however, could not be clearer and if some readers have been disappointed for not finding the material available in, say, Duffie's book, I am sorry, but the title and the presenatition of the material left very little room for ambiguity. 2. The first edition has indeed suffered from some 'teething problems', and the number of typos and imprecision was unfortunately higher than I would consider acceptable. This is the reason why I have put so much effort in the second edition, which has some 180 new pages. Thanks to those readers who have pointed out my earlier mistakes. 3. Striking a balance between new material and established results is always difficult, but (and I am speaking in particular about the second edition here) the work about instantaneous and terminal correlation, the discussion of the swap-rate-based BGM model, the chapter about the log-normal-short-rate two-factor interest-rate models - to give a few examples -are both new contributions to the field and have been well received by practitioners. In more technical form, these topics have been considered by independent referees sufficently interesting and original to warrant publication in respected academic journals. 4. The treatment could certainly have been made more rigorous, but my intent was to make as accessible as possible what is often rather technical material. For those readers who like their i's properly dotted and t's suitably crossed I supply references both to my published work, and to the articles of colleagues. In closing, thank you again for your feedback, and please keep on writing your comments.
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Summary: Good on Several Levels
Review: Rebonato covers the material on different levels, providing not only full mathematical formulations, but also the English version of the math along with explanations of significance of the topics covered. This book is excellent for those with the mathematical background to understand the math, and is easy to follow for those with less than rigorous mathematical background. I would recommend a good foundation in general option pricing (at least an introduction to Black-Scholes and lattice modeling) prior to reading this book. Futures, Options, and Swaps by Kolb and Options, Futures, and Other Derivatives by Hull would be good preliminary readings. Rebonato does a good job in discussing the various modeling techniques, along with the strengths and weaknesses of each.
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Summary: Good technical book
Review: The book is a rear book on the subject practical enough to be used both as tutorial and (basic) reference. I liked the technical style as well. Not much empirical data were provided though. Look for periodics for better model details.
Rating:
Summary: Good technical book
Review: The book is a rear book on the subject practical enough to be used both as tutorial and (basic) reference. I liked the technical style as well. Not much empirical data were provided though. Look for periodics for better model details.
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Summary: Great for intuitive understanding
Review: The book places more emphasis on an intuitive grasp of the complex mathematics involved, though this must mean giving up rigour to an extent.
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Summary: Practical
Review: This book is as one reviewer said, is both practical and a reference. It brings to light concepts such as, why Swap rates and Forward rates canot follow a log normal process at the same time in a intutive and practical way. The derivation of the different model is not rigorous enough but one could obtain it from other books. On the whole a good buy but a little bit expensive.
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Summary: Essential Reference for Exotic Options
Review: This book may be the best resource on exotic interest rate options. Riccardo Rebanato takes a difficult topic and gives it a thorough and clear treatment so that any professional can tackle the models for these products. Derivatives professionals will also want to know more about credit derivatives and will need an additional resource. I highly recommend "Credit Derivatives" (2nd Edition) by Tavakoli. Tavakoli discusses this class of exotic options with clear product description illustrates both the the customer - including hedge funds - and professional applications.
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