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

Rebonato, Riccardo

The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / Riccardo Rebonato Kenneth McKay Richard White - Hoboken, NJ : John Wiley & Sons, 2009 - xi, 284 p. : ill. ; 25 cm.

Includes bibliographical references and index

ISBN: 9780470740057 (cloth)

Subjects--Topical Terms:
Hedging (Finance)--Mathematical models
Options (Finance)--Prices--Mathematical models
Derivative securities--Accounting
Interest rate futures
LIBOR market model

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