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The Sabr/Libor Market Model
Pricing, Calibration And Hedging For Complex Interest-Rate Derivatives
idioma: inglês
Editor:
JOHN WILEY & SONS INC, março de 2009 ‧
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SINOPSE
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.
DETALHES
| Propriedade | Descrição |
|---|---|
| ISBN: | 9780470740057 |
| Editor: | JOHN WILEY & SONS INC |
| Data de Lançamento: | março de 2009 |
| Idioma: | Inglês |
| Encadernação: | Capa dura |
| Páginas: | 304 |
| Tipo de produto: | Livro |
| Classificação Temática: |
Livros em Inglês
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Economia, Finanças e Contabilidade
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Finanças
Livros em Inglês > Outros |
| EAN: | 9780470740057 |