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The Sabr/Libor Market Model

Pricing, Calibration And Hedging For Complex Interest-Rate Derivatives

by Richard White, Kenneth (London School Of Economics) Mckay e Riccardo (Royal Bank Of Scotland Group, Uk) Rebonato
language: english
Publisher: JOHN WILEY & SONS INC, March of 2009 ‧
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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.

The Sabr/Libor Market Model

Pricing, Calibration And Hedging For Complex Interest-Rate Derivatives

by Richard White, Kenneth (London School Of Economics) Mckay e Riccardo (Royal Bank Of Scotland Group, Uk) Rebonato

Property Description
ISBN: 9780470740057
Publisher: JOHN WILEY & SONS INC
Release Date: March of 2009
Language: English
Cover: Hardcover
Pages: 304
Format: Book
Categories: Books in English > Economics, Finance and Accounting > Finances
Books in English > Others
EAN: 9780470740057