The SABR / LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives - Rebonato, Riccardo (Royal Bank of Scotland Group, UK) - Books - John Wiley & Sons Inc - 9780470740057 - March 6, 2009
In case cover and title do not match, the title is correct

Rebonato, Riccardo (Royal Bank of Scotland Group, UK)
The SABR / LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Price
$ 123.99
excl. VAT

Ordered from remote warehouse

Expected to be ready for shipping Aug 31 - Sep 10
Get notified about new Rebonato, Riccardo (Royal Bank of Scotland Group, UK) releases

Our customers say:

14-day return policy in accordance with European consumer protection law
Top ranking on Trustpilot
Add to your iMusic wish list

Not rated yet

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.

296 pages, black & white tables, figures

Media Books     Hardcover Book   (Book with hard spine and cover)
Released March 6, 2009
ISBN13 9780470740057
Publishers John Wiley & Sons Inc
Pages 304
Dimensions 177 × 252 × 22 mm   ·   660 g
Language English  

More by Rebonato, Riccardo (Royal Bank of Scotland Group, UK)

Show all

More from the same publisher

See all of Rebonato, Riccardo (Royal Bank of Scotland Group, UK) ( e.g. Hardcover Book )