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

著者

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

書誌事項

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

注記

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

• NII書誌ID(NCID): BA89841405
• ISBN:
  • 9780470740057
• LCCN: 2009001882
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Chichester, West Sussex
• ページ数/冊数: xi, 284 p.
• 大きさ: 25 cm
• 分類:
  • LCC : HG6024.A3
  • DC22 : 332.63/23
• 件名:
  • LCSH : Hedging (Finance) -- Mathematical models
  • LCSH : Options (Finance) -- Prices -- Mathematical models
  • LCSH : Derivative securities -- Accounting
  • LCSH : Interest rate futures