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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| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
Chichester, West Sussex, U.K. :
John Wiley & Sons,
2009.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Physical Description: | 1 online resource (xi, 284 pages) : illustrations |
| Bibliography: | Includes bibliographical references (pages 271-274) and index. |
| ISBN: | 9781119206392 1119206391 9780470744888 047074488X |