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

Bibliographische Detailangaben
1. Verfasser: Rebonato, Riccardo
Weitere Verfasser: McKay, Kenneth 1981-, White, Richard 1976-
Format: Buch
Sprache:English
Veröffentlicht: Chichester Wiley c2009.
Schlagworte:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.