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

التفاصيل البيبلوغرافية
المؤلف الرئيسي: Rebonato, Riccardo
مؤلفون آخرون: McKay, Kenneth 1981-, White, Richard 1976-
التنسيق: كتاب
اللغة:English
منشور في: Chichester Wiley c2009.
الموضوعات:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.