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Sabr/Libor Market Model eBook

Pricing, Calibration And Hedging For Complex Interest-Rate Derivatives

by Richard White, Kenneth Mckay e Riccardo Rebonato
language: english
Publisher: WILEY, April of 2010 ‧
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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.

Sabr/Libor Market Model

Pricing, Calibration And Hedging For Complex Interest-Rate Derivatives

by Richard White, Kenneth Mckay e Riccardo Rebonato

Property Description
ISBN: 9780470744888
Publisher: WILEY
Release Date: April of 2010
Language: English
Format: eBook
File Format and Compatibility: PDF para ADE
Categories: eBooks in English > Economics, Finance and Accounting > Finances
EAN: 9780470744888

RICHARD WHITE

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KENNETH MCKAY

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RICCARDO REBONATO

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