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The Sabr/Libor Market Model
Pricing, Calibration And Hedging For Complex Interest-Rate Derivatives
language: english
Publisher:
JOHN WILEY & SONS INC, March of 2009 ‧
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SYNOPSIS
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.
DETAILS
| 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 |