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The SABR/LIBOR Market Model

By: UK) Rebonato Riccardo (Royal Bank of Scotland Group (Author) , Kenneth (London School of Economics) McKay (Author) , Richard White (Author)

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Ksh 15,000.00

Format: Hardback or Cased Book

ISBN-13: 9780470740057

Publisher: John Wiley & Sons Inc

Publication Date: Mar 6th, 2009

Weight: 660 grams

Dimension: 25.20 x 17.70 x 2.20 cms

Category: Investment & securities

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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.

Get The SABR/LIBOR Market Model by Riccardo (Royal Bank of Scotland Group, UK) Rebonato at the best price and quality guranteed only at Werezi Africa largest book ecommerce store. The book was published by John Wiley & Sons Inc and it has pages. Enjoy Shopping Best Offers & Deals on books Online from Werezi - Receive at your doorstep - Fast Delivery - Secure mode of Payment

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