The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest Rate Derivatives

by Richard White (Author), Riccardo Rebonato (Author), Kenneth McKay (Author)

• New

  Illustrated
  2009

  $83.24

  This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model.