The SABR / LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives - Rebonato, Riccardo (Royal Bank of Scotland Group, UK) - Books - John Wiley & Sons Inc - 9780470740057 - March 6, 2009
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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

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

Media Books     Hardcover Book   (Book with hard spine and cover)
Released March 6, 2009
ISBN13 9780470740057
Publishers John Wiley & Sons Inc
Pages 304
Dimensions 177 × 252 × 22 mm   ·   660 g
Language English  
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