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

Dettagli Bibliografici
Autore principale: Rebonato, Riccardo
Altri autori: McKay, Kenneth 1981-, White, Richard 1976-
Natura: Libro
Lingua:English
Pubblicazione: Chichester Wiley c2009.
Soggetti:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.