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

Detalhes bibliográficos
Autor principal: Rebonato, Riccardo
Outros Autores: McKay, Kenneth 1981-, White, Richard 1976-
Resource Type: Livro
Idioma:English
Publicado em: Chichester Wiley c2009.
Assuntos:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.

School of Statistics (UP Diliman)

Accession # Call # Volume/Part# Copy # Collection Circulation Type Circulation Status
SOS-12235 HG 6024 A3 R43 2009 Regular Circulation On-Shelf