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

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

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Bibliographic Details
Main Author: Rebonato, Riccardo
Corporate Author: ebrary, Inc
Other Authors: McKay, Kenneth, 1981-, White, Richard, 1976-
Format: Electronic eBook
Language:English
Published: Hoboken, NJ : John Wiley & Sons, 2009.
Subjects:
Hedging (Finance) > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Derivative securities > Accounting.
Interest rate futures.
LIBOR market model.
Electronic books.
Online Access:An electronic book accessible through the World Wide Web; click to view
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Description
Physical Description:xi, 284 p. : ill.
Bibliography:Includes bibliographical references and index.

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