The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives

Author(s)

• Rebonato, Riccardo
• McKay, Kenneth
• White, Richard

Bibliographic Information

The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives

Riccardo Rebonato Kenneth McKay and Richard White

John Wiley & Sons, 2009

• : hbk

Note

Includes bibliographical references (p. 271-274) and index

Details

• NCID: BA89841405
• ISBN:
  • 9780470740057
• LCCN: 2009001882
• Country Code: uk
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Chichester, West Sussex
• Pages/Volumes: xi, 284 p.
• Size: 25 cm
• Classification:
  • LCC : HG6024.A3
  • DC22 : 332.63/23
• Subject Headings:
  • LCSH : Hedging (Finance) -- Mathematical models
  • LCSH : Options (Finance) -- Prices -- Mathematical models
  • LCSH : Derivative securities -- Accounting
  • LCSH : Interest rate futures