The SABR/LIBOR Market Model : Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Book Details
Format
Hardback or Cased Book
ISBN-10
0470740051
ISBN-13
9780470740057
Publisher
John Wiley & Sons Inc
Imprint
John Wiley & Sons Inc
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Mar 6th, 2009
Print length
304 Pages
Weight
660 grams
Dimensions
25.20 x 17.70 x 2.20 cms
Product Classification:
Investment & securities
Ksh 12,250.00
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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.
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