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
List price: £65.00
You save: 30%
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.

