Richard White

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The Sabr/Libor Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Richard White; Riccardo Rebonato; Kenneth McKay

Synopsis:
Presents a major innovation in the interest rate space. This title 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.

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Other editions: Softcover - 2010, Softcover - 2008, 2007, Softcover - 2007, Softcover - 2006, Hardcover - 2006, Softcover - 2006, Softcover - 2004, Softcover - 2003, Softcover - 2003