LEADER 00871cam0-2200313---450- 001 990005816200403321 005 20150226130458.0 035 $a000581620 035 $aFED01000581620 035 $a(Aleph)000581620FED01 035 $a000581620 100 $a19990604d1994----km-y0itay50------ba 101 0 $afre 102 $aFR 105 $ay-------001yy 200 1 $a<>mémoire du texte$eessais de poétique classique$fBernard Beugnot 210 $aParis$cChampion$d1994 215 $a428 p.$d25 cm 225 1 $aLumière classique$v3 610 0 $aLetteratura francese$aSec. 17. 676 $a840.9004 700 1$aBeugnot,$bBernard$0152115 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990005816200403321 952 $a840.9004 BEU 1$bDip.f.m.7245$fFLFBC 959 $aFLFBC 996 $aMémoire du texte$9567846 997 $aUNINA LEADER 02964nam 2200685Ia 450 001 9910139504503321 005 20230721005904.0 010 $a1-119-99563-9 010 $a1-119-20639-1 010 $a1-282-68985-1 010 $a9786612689857 010 $a0-470-74488-X 035 $a(CKB)2550000000013111 035 $a(EBL)516963 035 $a(OCoLC)649476974 035 $a(SSID)ssj0000427554 035 $a(PQKBManifestationID)11296289 035 $a(PQKBTitleCode)TC0000427554 035 $a(PQKBWorkID)10405934 035 $a(PQKB)11610614 035 $a(MiAaPQ)EBC516963 035 $a(Au-PeEL)EBL516963 035 $a(CaPaEBR)ebr10380983 035 $a(CaONFJC)MIL268985 035 $a(EXLCZ)992550000000013111 100 $a20090121d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe SABR/LIBOR market model$b[electronic resource] $epricing, calibration and hedging for complex interest-rate derivatives /$fRiccardo Rebonato Kenneth McKay Richard White 210 $aHoboken, NJ $cJohn Wiley & Sons$d2009 215 $a1 online resource (298 p.) 300 $aDescription based upon print version of record. 311 $a0-470-74005-1 320 $aIncludes bibliographical references and index. 327 $aThe SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; Index 330 $aThis 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 hedgin 606 $aHedging (Finance)$xMathematical models 606 $aOptions (Finance)$xPrices$xMathematical models 606 $aDerivative securities$xAccounting 606 $aInterest rate futures 606 $aLIBOR market model 615 0$aHedging (Finance)$xMathematical models. 615 0$aOptions (Finance)$xPrices$xMathematical models. 615 0$aDerivative securities$xAccounting. 615 0$aInterest rate futures. 615 0$aLIBOR market model. 676 $a332.63/23 700 $aRebonato$b Riccardo$0464700 701 $aMcKay$b Kenneth$f1981-$0994209 701 $aWhite$b Richard$f1976-$0994210 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139504503321 996 $aThe SABR$92276938 997 $aUNINA