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The SABR / LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Rebonato, Riccardo (Royal Bank of Scotland Group, UK)
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The SABR / LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Rebonato, Riccardo (Royal Bank of Scotland Group, UK)
This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model.
296 pages, black & white tables, figures
| Medios de comunicación | Libros Hardcover Book (Libro con lomo y cubierta duros) |
| Publicado | 6 de marzo de 2009 |
| ISBN13 | 9780470740057 |
| Editores | John Wiley & Sons Inc |
| Páginas | 304 |
| Dimensiones | 177 × 252 × 22 mm · 660 g |
| Lengua | Inglés |
