03132nam 2200769Ia 450 991081272430332120200520144314.097866126898579781119995630111999563997811192063921119206391978128268985512826898519780470744888047074488X(CKB)2550000000013111(EBL)516963(OCoLC)649476974(SSID)ssj0000427554(PQKBManifestationID)11296289(PQKBTitleCode)TC0000427554(PQKBWorkID)10405934(PQKB)11610614(MiAaPQ)EBC516963(Au-PeEL)EBL516963(CaPaEBR)ebr10380983(CaONFJC)MIL268985(Perlego)1007459(EXLCZ)99255000000001311120090121d2009 uy 0engur|n|---|||||txtccrThe SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives /Riccardo Rebonato Kenneth McKay Richard White1st ed.Hoboken, NJ John Wiley & Sons20091 online resource (298 p.)Description based upon print version of record.9780470740057 0470740051 Includes bibliographical references and index.The SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; IndexThis 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 recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedginHedging (Finance)Mathematical modelsOptions (Finance)PricesMathematical modelsDerivative securitiesAccountingInterest rate futuresLIBOR market modelHedging (Finance)Mathematical models.Options (Finance)PricesMathematical models.Derivative securitiesAccounting.Interest rate futures.LIBOR market model.332.63/23Rebonato Riccardo464700McKay Kenneth1981-1636941White Richard1976-1636942MiAaPQMiAaPQMiAaPQBOOK9910812724303321The SABR3978495UNINA