The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives

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. The...

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Bibliographic Details
Main Author: Rebonato, Riccardo
Other Authors: McKay, Kenneth, 1981-, White, Richard, 1976-
Format: Electronic eBook
Language:English
Published: Chichester, West Sussex, U.K. : John Wiley & Sons, 2009.
Subjects:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
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