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The SABR/LIBOR Market Model
- Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Engelsk
Bogcover for The SABR/LIBOR Market Model af Richard White, Riccardo Rebonato, Kenneth McKay, 9780470740057
Specifikationer
Sprog:
Engelsk
Sider:
304
ISBN-13:
9780470740057
Indbinding:
Hardback
ISBN-10:
0470740051
Udg. Dato:
6 mar 2009
Størrelse i cm:
25,2 x 17,7 x 2,2
Oplagsdato:
6 mar 2009

The SABR/LIBOR Market Model

- Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Engelsk
Hardback 2009
Format:

Bog 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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Specifikationer
Sprog:
Engelsk
Sider:
304
ISBN-13:
9780470740057
Indbinding:
Hardback
ISBN-10:
0470740051
Udg. Dato:
6 mar 2009
Størrelse i cm:
25,2 x 17,7 x 2,2
Oplagsdato:
6 mar 2009
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