rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    non sort: The
    title: SABR/LIBOR market model
    sub title: pricing, calibration and hedging for complex interest-rate derivatives
  name:
    name part: Rebonato, Riccardo.
    role:
      role term: creator
  name:
    name part: McKay, Kenneth
    name part: 1981-
  name:
    name part: White, Richard
    name part: 1976-
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: enk
    place:
      place term: Chichester, West Sussex, U.K
    publisher: John Wiley & Sons
    date issued: 2009
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xi, 284 pages) : illustrations
  abstract: 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.
  table of contents: 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.
  note: Riccardo Rebonato, Kenneth McKay, and Richard White.
  note: Includes bibliographical references (pages 271-274) and index.
  subject:
    topic: Hedging (Finance)
    topic: Mathematical models
  subject:
    topic: Options (Finance)
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Derivative securities
    topic: Accounting
  subject:
    topic: Interest rate futures
  classification: HG6024.A3 R427 2009eb
  classification: 332.63/23
  related item:
    title info:
      title: SABR/LIBOR market model
    name:
      name part: Rebonato, Riccardo.
    origin info:
      publisher: Chichester, West Sussex, U.K. : John Wiley & Sons, 2009
    identifier: (DLC) 2009001882
  identifier: 9781119206392
  identifier: 1119206391
  identifier: 9780470744888
  identifier: 047074488X
  identifier: 9780470740057
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: NhCcYBP
    record creation date: 100721
    record change date: 20260214215350.3
    record identifier: in00004684793
    language of cataloging:
      language term: eng