The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest Rate Derivatives Book + PRICE WATCH * Amazon pricing is not included in price watch

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest Rate Derivatives Book

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.Read More

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  • ASDA

    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.

  • Pickabook

    Riccardo Rebonato, Kenneth McKay, Richard White

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