Sabr/Libor Marktmodell: Preise, Kalibrierung und Absicherung für komplexe Inter...
76,99 €
Sabr/Libor Market Model : Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives, Hardcover by Rebonato, Riccardo; McKay, Kenneth; White, Richard, ISBN 0470740051, ISBN-13 9780470740057, Brand New, Free P&P in the UK Presents a major innovation in the interest rate space. This title 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.
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