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Sabr/Libor Market Model : Pricing, Calibration and Hedging for Complex Intere...
Sabr/Libor Market Model : Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives, Hardcover by Rebonato, Riccardo; McKay, Kenneth; White, Richard, ISBN 0470740051, ISBN-13 9780470740057, Like New Used, Free shipping in the US Presents a major innovation in the interest rate space. This title 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.
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| Item | 364769018082 |
|---|---|
| Seller |
greatbookprices1 ( 314133 ⭐ ) 96.5% Location: Jessup, US, Maryland Accept Payments With , |
| Shipping | See shipping cost, Ships to Americas, ... |
| Guarantee | eBay Money Back Guarantee |
| Condition | Like New |
| Book Title | Sabr/Libor Market Model : Pricing, Calibration and Hedging for Co |
| Author | Rebonato, Riccardo; McKay, Kenneth; White, Richard |
| Language | english |
| ISBN | 9780470740057 |
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