The SABR/LIBOR market model
Rebonato, Riccardo.
The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives / [electronic resource] : Riccardo Rebonato Kenneth McKay Richard White. - Hoboken, NJ : John Wiley & Sons, 2009. - xi, 284 p. : ill.
Includes bibliographical references and index.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2010.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
Hedging (Finance)--Mathematical models.
Options (Finance)--Prices--Mathematical models.
Derivative securities--Accounting.
Interest rate futures.
LIBOR market model.
Electronic books.
HG6024.A3 / R427 2009eb
332.63/23
The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives / [electronic resource] : Riccardo Rebonato Kenneth McKay Richard White. - Hoboken, NJ : John Wiley & Sons, 2009. - xi, 284 p. : ill.
Includes bibliographical references and index.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2010.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
Hedging (Finance)--Mathematical models.
Options (Finance)--Prices--Mathematical models.
Derivative securities--Accounting.
Interest rate futures.
LIBOR market model.
Electronic books.
HG6024.A3 / R427 2009eb
332.63/23