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 |
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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 |
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