Sabr/libor market model, the: pricing, calibration and hedging for complex interest-rate derivatives
Auteur :
Rebonato, Riccardo / McKay, Kenneth / White, Richard
Éditeur :
John Wiley & Sons Inc
ISBN :
9780470740057
Date de publication :
6 mars 2009
Dimensions :
25,2 x 17,7 x 2,2 cm
Poids :
662 g
Langue :
Anglais
Pays d'origine :
USA
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.