The Sabr/Libor Market Model - Pricing, Calibrationand Hedging for Complex Interest-rate Derivatives
2205 Kč
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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.
| Autor: | Rebonato, Riccardo; McKay, Kenneth; White, Richard |
| Nakladatel: | John Wiley And Sons Ltd |
| ISBN: | 9780470740057 |
| Rok vydání: | 2009 |
| Jazyk : | Angličtina |
| Vazba: | Hardback |
| Počet stran: | 296 |
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