1 option
The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / Riccardo Rebonato Kenneth McKay Richard White.
- Format:
- Book
- Author/Creator:
- Rebonato, Riccardo.
- Language:
- English
- Subjects (All):
- Hedging (Finance)--Mathematical models.
- Hedging (Finance).
- Options (Finance)--Prices--Mathematical models.
- Options (Finance).
- Derivative securities--Accounting.
- Derivative securities.
- Interest rate futures.
- LIBOR market model.
- Physical Description:
- 1 online resource (298 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Hoboken, NJ : John Wiley & Sons, 2009.
- Language Note:
- English
- 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
- 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
- Notes:
- Description based upon print version of record.
- Includes bibliographical references and index.
- ISBN:
- 9786612689857
- 9781119995630
- 1119995639
- 9781119206392
- 1119206391
- 9781282689855
- 1282689851
- 9780470744888
- 047074488X
- OCLC:
- 649476974
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