عنوان
پدید آورنده
موضوع
رده
HG6024.A3 R427 2009eb
HG6024
.
A3
R427
2009eb
کتابخانه
محل استقرار
047074488X
1119206391
9780470744888
9781119206392
9780470740057
b785462
The SABR/LIBOR market model :
[Book]
pricing, calibration and hedging for complex interest-rate derivatives /
Riccardo Rebonato, Kenneth McKay, and Richard White.
Chichester, West Sussex, U.K. :
John Wiley & Sons,
2009.
1 online resource (xi, 284 pages) :
illustrations
Includes bibliographical references (pages 271-274) and index.
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.
0
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.
SABR/LIBOR market model.
9780470740057
Derivative securities-- Accounting.
Hedging (Finance)-- Mathematical models.
Interest rate futures.
Options (Finance)-- Prices-- Mathematical models.
BUSINESS & ECONOMICS-- Investments & Securities-- Bonds.
Derivat
Derivative securities-- Accounting.
Finanzderivat.
Hedging
Hedging (Finance)-- Mathematical models.
Hedging.
Interest rate futures.
LIBOR Market Modell.
Mathematisches Modell
Options (Finance)-- Prices-- Mathematical models.
Optionspreistheorie.
Preisbildung
Zins.
BUS-- 036010
332
.
63/23
22
HG6024
.
A3
R427
2009eb
Rebonato, Riccardo.
McKay, Kenneth,1981-
White, Richard,1976-
20201206232216.0
pn
مطالعه متن کتاب [Book]
Y
