Name: The SABR/LIBOR Market Model
Price: 1096.95 DKK
Availability: InStock
Author: Riccardo (Royal Bank of Scotland Group Rebonato
ISBN: 9780470740057

The SABR/LIBOR Market Model af Riccardo (Royal Bank of Scotland Group Rebonato

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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.

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Sprog:
Engelsk

ISBN:
9780470740057

Forlag:
John Wiley & Sons Inc

Indbinding:
Hardback

Sideantal:
304

Udgivet:
6. marts 2009

Størrelse:
177x252x22 mm.

Vægt:
660 g.

Leveringstid: 2-3 uger.
Forventet levering: 23. november 2024

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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.

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