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The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
The SABR/LIBOR Market Model Pricing Calibration and Hedging for Complex InterestRate Derivatives
Author: Riccardo Rebonato, Kenneth McKay, Richard White
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 authors show how to accurately recover the who...  more »
ISBN-13: 9780470740057
ISBN-10: 0470740051
Publication Date: 4/27/2009
Pages: 296
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Publisher: Wiley
Book Type: Hardcover
Members Wishing: 0
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