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

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

Author
: 
Rebonato, Riccardo.

ISBN
: 
9780470740057

Personal Author
: 
Rebonato, Riccardo.

Publication Information
: 
Chichester, West Sussex, U.K. : John Wiley & Sons, 2009.

Physical Description
: 
xi, 284 p. : ill. ; 26 cm.

Subject Term
: 
Hedging (Finance) -- Mathematical models.
 
Options (Finance) -- Prices -- Mathematical models.
 
Derivative securities -- Accounting.
 
Interest rate futures.

Added Author
: 
McKay, Kenneth, 1981-
 
White, Richard, 1976-


LibraryMaterial TypeItem BarcodeShelf NumberCopy
IIEMSAGeneral Books33168025557410332.6323 R292S 20091