The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White.
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Year of Publication: | 2009 |
Language: | English |
Online Access: | |
Physical Description: | xi, 284 p. :; ill. |
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050 | 4 | |a HG6024.A3 |b R427 2009 | |
082 | 0 | 4 | |a 332.63/23 |2 22 |
100 | 1 | |a Rebonato, Riccardo. | |
245 | 1 | 4 | |a The SABR/LIBOR market model |h [electronic resource] : |b pricing, calibration and hedging for complex interest-rate derivatives / |c Riccardo Rebonato Kenneth McKay Richard White. |
260 | |a Hoboken, NJ : |b John Wiley & Sons, |c 2009. | ||
300 | |a xi, 284 p. : |b ill. | ||
504 | |a Includes bibliographical references and index. | ||
533 | |a Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. | ||
650 | 0 | |a Hedging (Finance) |x Mathematical models. | |
650 | 0 | |a Options (Finance) |x Prices |x Mathematical models. | |
650 | 0 | |a Derivative securities |x Accounting. | |
650 | 0 | |a Interest rate futures. | |
650 | 0 | |a LIBOR market model. | |
655 | 4 | |a Electronic books. | |
700 | 1 | |a McKay, Kenneth, |d 1981- | |
700 | 1 | |a White, Richard, |d 1976- | |
710 | 2 | |a ProQuest (Firm) | |
856 | 4 | 0 | |u https://ebookcentral.proquest.com/lib/oeawat/detail.action?docID=516963 |z Click to View |