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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MARC

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100 1 |a Rebonato, Riccardo. 
245 1 4 |a The SABR/LIBOR market model  |h [electronic resource] :  |b pricing, calibration and hedging for complex interest-rate derivatives /  |c Riccardo Rebonato Kenneth McKay Richard White. 
260 |a Hoboken, NJ :  |b John Wiley & Sons,  |c 2009. 
300 |a xi, 284 p. :  |b ill. 
504 |a Includes bibliographical references and index. 
533 |a Electronic reproduction.  |b Palo Alto, Calif. :  |c ebrary,  |d 2010.  |n Available via World Wide Web.  |n Access may be limited to ebrary affiliated libraries. 
650 0 |a Hedging (Finance)  |x Mathematical models. 
650 0 |a Options (Finance)  |x Prices  |x Mathematical models. 
650 0 |a Derivative securities  |x Accounting. 
650 0 |a Interest rate futures. 
650 0 |a LIBOR market model. 
655 7 |a Electronic books.  |2 local 
700 1 |a McKay, Kenneth,  |d 1981- 
700 1 |a White, Richard,  |d 1976- 
710 2 |a ebrary, Inc. 
856 4 0 |u http://site.ebrary.com/lib/daystar/Doc?id=10380983  |z An electronic book accessible through the World Wide Web; click to view 
908 |a 170314 
942 0 0 |c EB 
999 |c 109503  |d 109503 

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