The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives - Rebonato, Riccardo; McKay, Kenneth 1981-.; White, Richard 1976-. (Chichester Wiley, 2009)
Keywords: Hedging (Finance) -- Mathematical models; Options (Finance) -- Prices -- Mathematical models; Derivative securities -- Accounting; Interest rate futures; LIBOR market model