An edition of The SABR/LIBOR market model (2009)

The SABR/LIBOR market model

pricing, calibration and hedging for complex interest-rate derivatives

By Riccardo Rebonato

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Publish Date

2009

Publisher

John Wiley & Sons

Language

eng

Pages

296

Description:

subjects: Mathematical models, Hedging (Finance), Derivative securities, Options (Finance), Prices, Accounting, Interest rate futures, LIBOR market model, Interest rates