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010   $a9786612689857
010   $a0-470-74488-X
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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