Rebonato Riccardo, Mckay Kenneth, White Richard:
The Sabr/Libor Market Model

Pricing, Calibration And Hedging For Complex Interest Rate Derivatives

John Wiley And Sons Ltd (United Kingdom), 2009
Hardback, 296 pages
Size: 251x177 mm
ISBN: 9780470740057
ISBN-10: 0470740051

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The Sabr/Libor Market Model

Presents a major innovation in the interest rate space. This title 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.

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Riccardo Rebonato
Kenneth Mckay
Richard White
Investment & securities
Finance
Finance & accounting
Economics, finance, business and industry
John Wiley And Sons Ltd

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Riccardo Rebonato
Kenneth Mckay
Richard White
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