Reviews (10)

Still great, after all these years
This book was published over six years ago, so some potential buyers might be worried about whether it has exceeded its shelf life.
Good explained yield curve fitting
List different way of yield curve fitting method, and good explain why B-spline
Could have been very good. A new edition could earn 5 stars.
While very ambitious and containing some very good material, I think there are too many errors, typos, and gaps in this book. For example, the derivation of equation (3.20) on page 43, a not insignificant result on swap rates, is embarrasingly wrong. They make 2 fundamental errors in equations (3.15) and (3.16) and appear fortunate to arrive at (3.20) which is correct. These errors are not mere typos. Their examples related to the concept of a filtration on top of page 58 appear to be wrong. Elsewhere in the book notation is often used inconsistently and without adequate definition. There are also gaps. For example, when discussing volatility structures in Section 16.1, they use equation (16.6) (which is correct) in a number of examples, but I could not find where they actually derived that equation. (It should have been in the HJM chapter) but was not there.
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Subjects:  1. Accounting - General    2. Business & Economics    3. Business / Economics / Finance    4. Economics - General    5. General    6. Interest    7. Interest rates    8. Investment Analysis    9. Investments & Securities - General    10. Mathematical Models In Economics    11. Mathematical models    12. Science/Mathematics    13. Business & Economics / Finance    14. Investment & securities   

Reviews (22)

The very best there is for Exam FM
A number of aspiring actuaries who attempt to pass the second exam (Exam FM: Financial Math) attempt to side step the reading of this over priced textbook and substitute it with study aides and other cram books. I would recommend that they refrain from doing so as this text is lucid, the exercises are quite comprehensive, and above all, the occasional examples are rather identical to the problems one can anticipate on the test. I took Exam FM recently and this is the only text i refered to, and i felt that my preparation was rather complete thanks to a reading of the syllabus material. The book flows like water, though chapter 4 (section 4.4) and chapter 5 might be a bit tedious to read because of the complication in the material presented, thankfully that second rarely contributes substantially to the test. in fact, after chapter 3, chapter 4 (sections 4.1-4.3), it is best to jump to chapter 5, 6, 7, and then 9. Once this study is complete, the material presented in section 4.4 and chapter 5 and sections 8.7, 8.8, 8.10 must be examined to maintain fluidity of the material.
There are better options.
In order to save the reader some time I have condensed the information contained in the twenty previous reviews to the bare essentials.For those of you who are taking the SOA/CAS Exam F/2, there are some things you should be aware of before you dedicate yourself to studying from this book.
Good book, BUT...
Yes, I gave the book a five star rating but only b/c it's one of the very few actual textbooks out there devoted to this subject alone.
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Subjects:  1. Applied    2. Business & Economics    3. Business / Economics / Finance    4. Business/Economics    5. Insurance - General    6. Interest    7. Monetary Theory    8. Problems, exercises, etc    9. Business & Economics / Insurance / General    10. Finance    11. Financial services industry   

Reviews (5)

Excellent Treatment of Interest Rate Derivatives
I'm an interest rate professional with more than 10 years of successful pricing and trading experience, and I enjoyed and appreciated Riccardo Rebonato's clear presentation of the pricing of these derivatives.I keep this on my desk as one of my key references. why bother
It's hard to believe a reviewer with such a myopic view of Derivatives pricing could go through the whole book, understood it and found time to rate it. Mindblowing waste of time ! rebonato does it again
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, and effective implementation. The later chapters also cover extensions to the LIBOR market model to take account of smile and skew. In particular, there is extensive discussion of the cutting-edge Joshi-Rebonato stochastic-vol, displaced-diffusion LIBOR market model.Read more

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Finance    5. Interest    6. Interest rate futures    7. Investments & Securities - Bonds    8. Business & Economics / Finance    9. Economics    10. Investment & securities   

Reviews (3)

A Good Reference and a Self-Study Guide
As with most of the books from the Schaum's Outline collection, this book comprises the fundamentals so it can be used as a supplement to standard textbooks in class, as a stand-alone study aid, or as a reference for the professional practitioner.
Self-contained text and/or study guide
Before I ended up working on a busy trading floor, I earned an MS in math and a doctorate in physics.I ended up using my technical skills pricing otpions in the energy derivatives business.I wondered if I was missing something since I had no background in basic investment science since I had no formal background in this field.I deeply enjoyed reading the book and found the examples to be helpful.The homework problems (with solutions) to be accessible.I must say that I found a few annoying mistakes scattered here and there, but I did learn somethings I otherwise wouldn't have had I not read this book.
Excellent Value
The target audience of this book is people who want to know how to estimate annuities, life insuarance premiums etc. If you are sitting the actuarial exam(SOA) 2 this is what you need for the Theory of Interest part. It also covers parts of exam 3. The book is affordable and way better than any other else. The methodology is crystal clear. ... Read more

Subjects:  1. Accounting - General    2. Business & Economics    3. Business Mathematics    4. Business/Economics    5. Finance    6. Interest    7. Problems, exercises, etc    8. Science/Mathematics    9. Study Guides    10. Actuarial studies    11. Applied mathematics    12. Business & Economics / Accounting / General   

Reviews (2)

Finally... a road map to interest rate models!!!
I had a strong background in equity derivative models but found the leap to interest rate models difficult.What are the relationships between short rates, forward rates, and term structure?How do assumptions translate into restrictions on our ability to model the "stylized facts" of interest rates?How are assumption violations "corrected" by practitioners? Begin your BGM, Libor & Swap market model journey here.
If you want a concise, clearly written and excellently explained introduction to the cutting edge interest rate models used in dealing rooms today. Look no further. With an elementary stochastic calculus background from Rennie & Baxter, this book is very readable, even on a crowded train! For those who want more details & case studies, have Interest Rate Models by Brigo & Mercurio as a companion text. With useful tips on Libor & swap market model implementation, and a whole chapter devoted to convexity correction. One of the best texts on the subject I have read. ... Read more

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Derivative securities    5. General    6. Interest    7. Investment Analysis    8. Investments & Securities - Bonds    9. Investments & Securities - General    10. Securities    11. Business & Economics / Finance    12. Investment & securities    13. Mathematical finance    14. Stochastic modelling   

Reviews (2)

Me thinks some reviewers protest too much
This book has been damned for being too simplistic, therefore consign it to the trash cart, or so we are expected to do. But given the relative novelty of these financial products simplicity in the best sense of word could be seen as a virtue in any work dealing with this topic. So, why the evident annoyance from some. Could it be that this work dissolves some of the mystery involved, and threatens some closed shop in these markets ?

Outdated and Shallow
The book easily shows its age in its focus on standards and issues which have long ago fallen by the wayside in this dynamic market.Far worse is that the book is preciously short on quantitative and analytic methods, andlong on third-grade-teacher types of admonishments.I read the whole bookbecasue I paid for it, there are better, more up-to-date volumes out there. Could possibly be re-named "Swaps for English Majors", although,English majors as a group might correctly be upset at this association. ... Read more

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Finance    5. Financial Markets    6. Interest    7. Interest rate futures    8. Interest rate swaps    9. Investments & Securities - Bonds    10. Swaps (Finance)    11. Business & Economics / Finance    12. Investment & securities   

Reviews (1)

Good exposition
The book is quite technical, but at the same time quite clear.It's definitely a good source to learn from. ... Read more

Subjects:  1. Business / Economics / Finance    2. Derivative securities    3. General    4. Interest    5. Interest rate futures    6. Interest rates    7. Mathematical models    8. Mathematics    9. Prices    10. Science/Mathematics    11. Investment & securities    12. Mathematics / General   

Reviews (2)

This Book is a Load of Laughs!
I thoroughly enjoyed this book.I mean, who doesn't like to look at mortgage amortization tables?Me and my family like to sit around and quiz each other by saying stuff like "What is the monthly payment on a 30year fixed interest mortgage of $135,000 at 8.25%?"We've even set itup in "Who Wants to be a Millionaire" format with lifelines andwhat have you and we have a real blast! All you need to know about loans and payments is here
You may not use it often, but this book will come in very handy when planning to borrow money.I've been an investment professional since 1988, and this is the most borrowed book on my shelf.I also owned the previousedition, and this version has been improved with the inclusion of ratesdown to 2% and the expansion of loan amounts to $300,000 in the primarytable.Read more

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Credit    5. Finance    6. Interest    7. Interest (Economics)    8. Loan amortization schedules    9. Real Estate - Mortgages    10. Tables    11. Business & Economics / Finance   

Reviews (1)

An excellent book!!!
This book provides an excellent reference and point of view of old and new topics in the interest rate modelling field.Read more

Subjects:  1. Applied    2. Bonds    3. Business & Economics    4. Business / Economics / Finance    5. Business/Economics    6. Derivative securities    7. Finance    8. Interest    9. Interest rates    10. Mathematical models    11. Securities    12. Business & Economics / Finance    13. Economics   

Reviews (3)

Compact compendium of financial information
In this text, Van Horne combines elements of both finance and economics; this results in an outstanding compendium of financial theory as it relates to financial markets. However, the breadth of the material and the detail to which the reader is exposed necessitates succinct dissemination in such a compact text (300 pages). I've found more information in this paperback than most hardcover texts (800 pages or more) that I've read, and at half the price. a great contribute to financial market theory
Professor Van Horne Books are certainly fundamental to approach right the theory of finance. I think we have all to thank him for his studies.

A good reference for fixed income securities
A compact book focusing on fixed-income market, derivatives, and risk management. Highly Recommended for advanced undergraduates ... Read more

Subjects:  1. Accounting - General    2. Business & Economics    3. Business / Economics / Finance    4. Business/Economics    5. Capital market    6. Finance    7. Financial Markets    8. Flow of funds    9. Hedging (Finance)    10. Interest    11. Interest rates    12. Investments & Securities - General    13. Business & Economics / Investments & Securities   

Features

• Box set

Subjects:  1. Business & Economics    2. Business/Economics    3. Interest    4. Economics, Finance, Business and Industry    5. Finance   

Reviews (5)

Very clear and detailed explanations
I dont work for a trading desk, but work for IT that supports the trading desk and needed to understand the workings of swap pricing etc. This book gives a very clear explanation of how to price a swap at inception and through the life of the swap agreement. It ties all together volatility, swap curve/term structure of interest rates etc. If you were looking for a more detailed explanation and are actually going to be trading swaps then this is probably not the book.

excellent book , very clear.
I trade derivatives, and this book was amazing to get me started in the valuation of IRS and swaptions. It provides very clear steps used to valuean IRS from a sting of libor futures. It describes the swaption valuation with an introduction to binomial trees in a very simmple manner. Everything is explained very clearly and takes you through the math step by step. I own more than 10 books that describe the valuation of an IRS and by far this is the best.

Is this book a joke?
A book written on "valuation of swaps and swaptions" is obviously not for the lay man.I was extremely disappointed to go through this book, which seems to be fit for 5th graders.It's a shame that a supposed leading thinker like Fabozzi can write such a shallow, meaningless book.Mr. Fabozzi, please name one practitioner who cares to use this good-for-nothing book of yours.Perhaps a better title for the book would have been, "Swaps and swaptions for dummies".
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Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Finance    5. Interest    6. Investments & Securities - General    7. Business & Economics / Investments & Securities   

Subjects:  1. Business & Economics    2. Economic History    3. England    4. Europe - Great Britain - General    5. History    6. History - General History    7. History: World    8. Interest    9. Poor    10. Poverty    11. Social conditions    12. Social Science / Sociology / General   

Reviews (1)

A timely monograph onmathematical aspects of HJM models
The class of arbitrage free interest-rate models introduced by Heath, Jarrow and Morton in the 1980s has become the standard mathematical frameworkfor interest rate theory since. In the recent years many researchers have approached HJM models from the viewpoint of infinite dimensional stochastic analysis, viewing them as evolution equations in the space of forward rate curves.Read more

Subjects:  1. Applied    2. Bonds    3. Business & Economics    4. Business / Economics / Finance    5. Business/Economics    6. Finance    7. General    8. Interest    9. Interest rates    10. Investments & Securities - General    11. Mathematical Models    12. Personal Finance    13. Business & Economics / Finance    14. bond markets    15. invariant models    16. mathematical finance    17. stochastic differential equations    18. term structure   

Subjects:  1. Accounting - Financial    2. Business & Economics    3. Business / Economics / Finance    4. Business/Economics    5. Corporate Finance    6. Finance    7. Interest    8. Investments & Securities - General    9. Business & Economics / Accounting / Financial    10. Investment & securities    11. Risk assessment & analysis for business   

Subjects:  1. 1881-1973    2. Austrian school of economics    3. Business & Economics    4. Business / Economics / Finance    5. Business/Economics    6. Capital    7. Economic Theory    8. Finance    9. Interest    10. Von Mises, Ludwig,    11. Economic theory & philosophy    12. Von Mises, Ludwig   

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Interest    5. Personal Finance    6. Personal Finance - Investing    7. Personal Loans    8. Real Estate - General    9. Real Estate - Investments    10. Business & Economics / Real Estate   

Reviews (1)

A great source of information for anyone buying a car/house.
This book is a great source of information for anyone buying a car or house or applying for a loan. Monthly payments (withing a few dollars) can quickly be determined. This is a must have business/investment reference.I've purchased it as a gift for several family members and friends. ... Read more

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Finance    5. Interest    6. Interest (Economics)    7. Loan amortization schedules    8. Real Estate - Mortgages    9. Real Estate Finance    10. Tables    11. Business & Economics / Finance    12. Credit & credit institutions    13. Personal finance   

Reviews (2)

Insightful, witty analysis of the market and market players
Mr. Grant's analysis and insight into market inconsistencies, anomalies, and absurdities is refreshing in this age of me too financial journalism.The articles, taken from Grant's Interest Rate Observer, are as original in thought as they are uncompromising in their logic.I am a finance professional and feel that this book is a must read for any young entrant into the field.This perennial bear can teach even the most ardent bull to reflect before they leap.Beware if you've been nurtured on Money Magazine!

Surprisingly good
A series of vignettes from the early 80s to the early 90s.I love these "time capsule" books.Read more

Subjects:  1. Business / Economics / Finance    2. Business/Economics    3. Finance    4. Financial Markets    5. Interest    6. Investments & Securities - Stocks    7. Stock-exchange    8. United States   

Features

• Illustrated

Subjects:  1. Business & Economics    2. Business / Economics / Finance    3. Business/Economics    4. Currency swaps    5. Finance    6. General    7. Interest rate futures    8. Business & Economics / Interest    9. INTEREST RATES    10. International finance    11. Monetary economics    12. Political economy    13. SWAPS (FINANCE)