[PDF.83jv] 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

[PDF.rg33] The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

The SABR/LIBOR Market Model:  Riccardo Rebonato, Kenneth McKay, Richard White epub
The SABR/LIBOR Market Model:  Riccardo Rebonato, Kenneth McKay, Richard White pdf download
The SABR/LIBOR Market Model:  Riccardo Rebonato, Kenneth McKay, Richard White pdf file
The SABR/LIBOR Market Model:  Riccardo Rebonato, Kenneth McKay, Richard White audiobook
The SABR/LIBOR Market Model:  Riccardo Rebonato, Kenneth McKay, Richard White book review
The SABR/LIBOR Market Model:  Riccardo Rebonato, Kenneth McKay, Richard White summary

 | #1243841 in eBooks |  2011-02-23 |  2011-02-23 | File type: PDF

---

||11 of 11 people found the following review helpful.| aTrader|By aTrader|I am surprised this book only got 1 reiew after been published more than a year. I am a trader in rates vol, and have a MS degree in MFE. I have briefly read through the book especially the models and the hedging parts. I enjoyed the parts that described the impacts of the alpha/beta/rho/nu to the skew, and I liked the parts of hedging adjustments very much|From the Inside Flap|“This is the best of Rebonato’s books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. Def

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. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of...

You easily download any file type for your device.The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives   |  Riccardo Rebonato, Kenneth McKay, Richard White.Not only was the story interesting, engaging and relatable, it also teaches lessons.

Download Now