The SABR/LIBOR Market Model
Kenneth (London School of Economics) McKay, Riccardo (Royal Bank of Scotland Group, UK) Rebonato, Richard White
John Wiley & Sons Inc, 2009
101,50 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9780470740057
- ISBN-10
- 0470740051
- Publisher
- John Wiley & Sons Inc
- Year
- 2009
- Publication date
- 2009-03-06
- Pages
- 304
- Dimensions
- 252x177x22
- Weight
- 660