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Record Nr. |
UNINA9910812724303321 |
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Autore |
Rebonato Riccardo |
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Titolo |
The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
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Pubbl/distr/stampa |
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Hoboken, NJ, : John Wiley & Sons, 2009 |
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ISBN |
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9786612689857 |
9781119995630 |
1119995639 |
9781119206392 |
1119206391 |
9781282689855 |
1282689851 |
9780470744888 |
047074488X |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (298 p.) |
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Altri autori (Persone) |
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McKayKenneth <1981-> |
WhiteRichard <1976-> |
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Disciplina |
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Soggetti |
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Hedging (Finance) - Mathematical models |
Options (Finance) - Prices - Mathematical models |
Derivative securities - Accounting |
Interest rate futures |
LIBOR market model |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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The SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; Index |
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Sommario/riassunto |
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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. The authors show how to accurately |
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