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The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

(Bog, Hardback, Engelsk)
Forfattere: Riccardo (Royal Bank of Scotland Group Rebonato, Kenneth (London School of Economics) McKay, Richard White
The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Forlag: John Wiley & Sons Inc

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Beskrivelse

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.

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Alle detaljer

Forlag John Wiley & Sons Inc
Forfattere Riccardo (Royal Bank of Scotland Group Rebonato, Kenneth (London School of Economics) McKay, Richard White
Type Bog
Format Hardback
Sprog Engelsk
Udgivelsesdato 06-03-2009
Første udgivelsesår 2009
Originalsprog United States
Sideantal 304
Indbinding Hardback
Forlag John Wiley & Sons Inc
Sideoplysninger 304 pages
Mål 252 x 177 x 22
ISBN-13 / EAN-13 9780470740057