SABR/LIBOR Market Model

Name: SABR/LIBOR Market Model
Author: Richard White

Richard White, UK) Riccardo (Royal Bank of Scotland Group Rebonato, Kenneth (London School of Economics) McKay

John Wiley & Sons Inc

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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.

Výběr knih autorů Richard White , UK) Riccardo (Royal Bank of Scotland Group Rebonato , Kenneth (London School of Economics) McKay

SABR/LIBOR Market Model

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