Review of Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance) (Hardcover)

If you are really into exotics, then this book will provide a lot. It is the most extensive book that I know and it is written by a trader for traders. It has some serious weaknesses though: its structure is somewhat chaotic and it seems as if the chapters have just been pasted together from different sources. On top of that, it is somewhat lengthy.

If you want to trade exotics, you have to read it anyway...



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Review of Interest-Rate Option Models: Understanding, Analysing and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering) (Hardcover)

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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Review of Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond (Hardcover)

I bought this book two years ago and couldn't follow it. After reading other books I found in surprise that I understand what he is talking about now (books not about the same subjects though). The book is well written and I finished the first five chapters. It has many scary formula but the good thing is the author does provide simple examples. It would be even better if he could provide some simple spread sheets for people to play with. I bet he has them. Formula are for mathematicians (I got a master in Math but still I don't feel easy at reading formula. You have to keep one thinking what i is and what k is and they location in the matrix and so on). Well the first 5 chapter is all about covariance matrix and no arbitrage drifts, I bet the later chapters have sophisticated stuff ... it will keep my commute to new york interesting



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