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The SABR/LIBOR Market Model
- Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
- Binding:
- Hardback
- Pages:
- 304
- Published:
- March 5, 2009
- Dimensions:
- 177x252x22 mm.
- Weight:
- 660 g.
Delivery:
2-4 weeks
Expected delivery: July 30, 2025
About Riccardo (Royal Bank of Scotland Group Rebonato
View all books by Riccardo (Royal Bank of Scotland Group RebonatoDescription of The SABR/LIBOR Market Model
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.
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