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

Détails bibliographiques
Auteur principal: Rebonato, Riccardo
Autres auteurs: McKay, Kenneth 1981-, White, Richard 1976-
Format: Livre
Langue:English
Publié: Chichester Wiley c2009.
Sujets:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.