عنوان
پدید آورنده
موضوع
رده
HG6024.A3 R427 2009eb
HG6024
.
A3
R427
2009eb
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
047074488X
(Number (ISBN
1119206391
(Number (ISBN
9780470744888
(Number (ISBN
9781119206392
Erroneous ISBN
9780470740057
NATIONAL BIBLIOGRAPHY NUMBER
Number
b785462
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
The SABR/LIBOR market model :
General Material Designation
[Book]
Other Title Information
pricing, calibration and hedging for complex interest-rate derivatives /
First Statement of Responsibility
Riccardo Rebonato, Kenneth McKay, and Richard White.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Chichester, West Sussex, U.K. :
Name of Publisher, Distributor, etc.
John Wiley & Sons,
Date of Publication, Distribution, etc.
2009.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (xi, 284 pages) :
Other Physical Details
illustrations
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references (pages 271-274) and index.
CONTENTS NOTE
Text of Note
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
SUMMARY OR ABSTRACT
Text of Note
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.
OTHER EDITION IN ANOTHER MEDIUM
Title
SABR/LIBOR market model.
International Standard Book Number
9780470740057
TOPICAL NAME USED AS SUBJECT
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.
(SUBJECT CATEGORY (Provisional
BUS-- 036010
DEWEY DECIMAL CLASSIFICATION
Number
332
.
63/23
Edition
22
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG6024
.
A3
Book number
R427
2009eb
PERSONAL NAME - PRIMARY RESPONSIBILITY
Rebonato, Riccardo.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
McKay, Kenneth,1981-
White, Richard,1976-
ORIGINATING SOURCE
Date of Transaction
20201206232216.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
