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" The SABR/LIBOR market model : "
Riccardo Rebonato, Kenneth McKay, and Richard White.
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BL
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| Record Number
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1031092
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b785462
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| Main Entry
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Rebonato, Riccardo.
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| Title & Author
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The SABR/LIBOR market model : : pricing, calibration and hedging for complex interest-rate derivatives /\ Riccardo Rebonato, Kenneth McKay, and Richard White.
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| Publication Statement
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Chichester, West Sussex, U.K. :: John Wiley & Sons,, 2009.
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| Page. NO
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1 online resource (xi, 284 pages) :: illustrations
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| ISBN
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047074488X
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: 1119206391
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: 9780470744888
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: 9781119206392
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9780470740057
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| Bibliographies/Indexes
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Includes bibliographical references (pages 271-274) and index.
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| Contents
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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.
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| Abstract
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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. 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.
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Derivative securities-- Accounting.
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Hedging (Finance)-- Mathematical models.
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Interest rate futures.
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Options (Finance)-- Prices-- Mathematical models.
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BUSINESS ECONOMICS-- Investments Securities-- Bonds.
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Derivat
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Derivative securities-- Accounting.
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Finanzderivat.
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Hedging (Finance)-- Mathematical models.
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Hedging
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Hedging.
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Interest rate futures.
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LIBOR Market Modell.
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Mathematisches Modell
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Options (Finance)-- Prices-- Mathematical models.
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Optionspreistheorie.
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Preisbildung
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Zins.
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| Dewey Classification
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332.63/23
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| LC Classification
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HG6024.A3R427 2009eb
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| Added Entry
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McKay, Kenneth,1981-
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White, Richard,1976-
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