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SABR/LIBOR Market Model

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In Stock (104)

£ 71.40

Description

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.

Book Details
EAN:
9780470740057
Binding:
Hardback
Dimensions(mm):
252 x 177 x 22
Publication Date:
2009-03-06
Publication Country:
United States