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

Kenneth McKay; Riccardo Rebonato; Richard White

ISBN:

9780470740057

Publisher:

John Wiley & Sons Inc

Publication Date:

2009

Binding:

Hardcover

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 - 2004

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