The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
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| Autore: |
Rebonato Riccardo
|
| Titolo: |
The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
|
| Pubblicazione: | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica: | 1 online resource (298 p.) |
| Disciplina: | 332.63/23 |
| Soggetto topico: | Hedging (Finance) - Mathematical models |
| Options (Finance) - Prices - Mathematical models | |
| Derivative securities - Accounting | |
| Interest rate futures | |
| LIBOR market model | |
| Altri autori: |
McKayKenneth <1981->
WhiteRichard <1976->
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| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | 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 |
| Sommario/riassunto: | 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 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 |
| Titolo autorizzato: | The SABR |
| ISBN: | 1-119-99563-9 |
| 1-119-20639-1 | |
| 1-282-68985-1 | |
| 9786612689857 | |
| 0-470-74488-X | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910139504503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |