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...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Rebonato, Riccardo
Autres auteurs: McKay, Kenneth, 1981-, White, Richard, 1976-
Format: Électronique eBook
Langue:Inglés
Publié: Chichester, West Sussex, U.K. : John Wiley & Sons, 2009.
Sujets:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
Couverture (Finances) > Modèles mathématiques.
Options (Finances) > Prix > Modèles mathématiques.
Instruments dérivés (Finances) > Comptabilité.
Marchés à terme de taux d'intérêt.
BUSINESS & ECONOMICS > Investments & Securities > Bonds.
Derivative securities > Accounting
Hedging (Finance) > Mathematical models
Interest rate futures
Options (Finance) > Prices > Mathematical models
Derivat > Wertpapier
Hedging
Mathematisches Modell
Preisbildung
LIBOR Market Modell.
Finanzderivat.
Zins.
Hedging.
Optionspreistheorie.
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