The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Hardcover - 2009 - 1st Edition
by Riccardo Rebonato; Kenneth McKay; Richard White
From the rear cover
the SABR/LIBOR Market Model
PRICING, CALIBRATION AND HEDGING FOR COMPLEX INTEREST-RATE DERIVATIVES
"This is the best of Rebonato's books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. Definitely a must."
"Fabio Mercurio, Senior Quantitative Analyst, Bloomberg New York
"A book that has all the hallmarks of Riccardo Rebonato: rigorous theory, up-to-date market knowledge, practical application, and empirical testing to destruction. This time, with co-authors, he applies himself to the most central banking market: LIBOR-related contracts."
"Ian Cooper, Professor of Finance, London Business School
"In this concise book Riccardo Rebonato and his co-authors introduce a new financially motivated model combining the best features of the Libor Market and SABR models. The authors provide a useful roadmap to pricing, calibrating, and hedging interest rate derivatives in the new framework. The book will be of interest to practitioners and academics alike."
"Alexander Lipton, Managing Director, Merrill Lynch and Visiting Professor, Imperial College
Details
- Title The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
- Author Riccardo Rebonato; Kenneth McKay; Richard White
- Binding Hardcover
- Edition number 1st
- Edition 1
- Pages 296
- Volumes 1
- Language ENG
- Publisher Wiley
- Date 2009-04
- Illustrated Yes
- Features Bibliography, Dust Cover, Illustrated, Index, Table of Contents
- ISBN 9780470740057 / 0470740051
- Weight 1.4 lbs (0.64 kg)
- Dimensions 9.6 x 6.5 x 0.9 in (24.38 x 16.51 x 2.29 cm)
- Library of Congress subjects Options (Finance) - Prices - Mathematical, Interest rate futures
- Library of Congress Catalog Number 2009001882
- Dewey Decimal Code 332.632
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The SABR/LIBOR Market Model : Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
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The SABR/LIBOR Market Model – Pricing, Calibration and Hedging for Complex Interest–Rate Derivatives
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The Sabr/Libor Market Model
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