The SABR/LIBOR Market Model Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives |
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| Author:
| Rebonato, Riccardo
McKay, Kenneth
White, Richard |
| ISBN: | 978-0-470-74005-7 |
| Publication Date: | Mar 2009 |
| Publisher: | John Wiley & Sons, Limited
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| Book Format: | Hardback |
| List Price: | AUD $140.95 |
Book Description:
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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.
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.