The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives

The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives

Detalles Bibliográficos
Autor Principal: Rebonato, Riccardo
Outros autores: McKay, Kenneth 1981-, White, Richard 1976-
Formato: Libro
Idioma:English
Publicado: Chichester Wiley c2009.
Subjects:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.