The SABR/LIBOR Market Model - Pricing, Calibration and Hedging for Complex Interest Rate Derivatives - Hardback - 2009

This book presents a major innovation in the interest rate space. It 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.
Year of publication: 2009
Pagination: 296 pages, black white tables, figures
Format: Hardback