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The SABR/LIBOR Market Model

Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

The SABR/LIBOR Market Model( )
Author: Rebonato, Riccardo
McKay, Kenneth
White, Richard
ISBN:978-0-470-74005-7
Publication Date:Apr 2009
Publisher:John Wiley & Sons, Incorporated
Book Format:Hardback
List Price:USD $125.00
Book Description:

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.

Book Details
Pages:304
Detailed Subjects: Business & Economics / Interest
Business & Economics / Investments & Securities / Derivatives
Physical Dimensions (W X L X H):6.915 x 9.828 x 0.874 Inches
Book Weight:1.46 Pounds



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