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The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
| The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
| Autore | Rebonato Riccardo |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
McKayKenneth <1981->
WhiteRichard <1976-> |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities - Accounting Interest rate futures LIBOR market model |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910139504503321 |
Rebonato Riccardo
|
||
| Hoboken, NJ, : John Wiley & Sons, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
| The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
| Autore | Rebonato Riccardo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
McKayKenneth <1981->
WhiteRichard <1976-> |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities - Accounting Interest rate futures LIBOR market model |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910812724303321 |
|
Rebonato Riccardo
|
||
| Hoboken, NJ, : John Wiley & Sons, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||