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The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, U.K. :
John Wiley & Sons,
2009.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 072 | 7 | |a BUS |x 036010 |2 bisacsh | |
| 082 | 0 | 4 | |a 332.63/23 |2 22 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Rebonato, Riccardo. | |
| 245 | 1 | 4 | |a The SABR/LIBOR market model : |b pricing, calibration and hedging for complex interest-rate derivatives / |c Riccardo Rebonato, Kenneth McKay, and Richard White. |
| 260 | |a Chichester, West Sussex, U.K. : |b John Wiley & Sons, |c 2009. | ||
| 300 | |a 1 online resource (xi, 284 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references (pages 271-274) and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Hedging (Finance) |x Mathematical models. | |
| 650 | 0 | |a Options (Finance) |x Prices |x Mathematical models. | |
| 650 | 0 | |a Derivative securities |x Accounting. | |
| 650 | 0 | |a Interest rate futures. | |
| 650 | 6 | |a Couverture (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Options (Finances) |x Prix |x Modèles mathématiques. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Comptabilité. | |
| 650 | 6 | |a Marchés à terme de taux d'intérêt. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x Bonds. |2 bisacsh | |
| 650 | 7 | |a Derivative securities |x Accounting |2 fast | |
| 650 | 7 | |a Hedging (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Interest rate futures |2 fast | |
| 650 | 7 | |a Options (Finance) |x Prices |x Mathematical models |2 fast | |
| 650 | 7 | |a Derivat |g Wertpapier |2 gnd | |
| 650 | 7 | |a Hedging |2 gnd | |
| 650 | 7 | |a Mathematisches Modell |2 gnd | |
| 650 | 7 | |a Preisbildung |2 gnd | |
| 650 | 7 | |a LIBOR Market Modell. |2 stw | |
| 650 | 7 | |a Finanzderivat. |2 stw | |
| 650 | 7 | |a Zins. |2 stw | |
| 650 | 7 | |a Hedging. |2 stw | |
| 650 | 7 | |a Optionspreistheorie. |2 stw | |
| 700 | 1 | |a McKay, Kenneth, |d 1981- |1 https://id.oclc.org/worldcat/entity/E39PCjwrxXmxWkcGKCKqqHr9CP | |
| 700 | 1 | |a White, Richard, |d 1976- |1 https://id.oclc.org/worldcat/entity/E39PCjH4DqBtKftQDVy4c9ydjP | |
| 758 | |i has work: |a The SABR/LIBOR market model (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFP9BxmV3JcftGHBYvjtDm |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Rebonato, Riccardo. |t SABR/LIBOR market model. |d Chichester, West Sussex, U.K. : John Wiley & Sons, 2009 |z 9780470740057 |w (DLC) 2009001882 |w (OCoLC)300720214 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=516963 |z Texto completo |
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