The SABR/LIBOR market model: pricing, calibration and hedging for complex interest-rate derivatives
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Chichester, West Sussex, U.K.
John Wiley & Sons
2009
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| Subjects: | |
| Online Access: | FRO01 UBG01 Volltext |
| Item Description: | Includes bibliographical references (pages 271-274) and index 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. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedgin |
| Physical Description: | 1 Online-Ressource (xi, 284 pages) |
| ISBN: | 9781119206392 1119206391 9780470744888 047074488X 9780470740057 |
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| indexdate | 2024-07-10T07:24:42Z |
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| isbn | 9781119206392 1119206391 9780470744888 047074488X 9780470740057 |
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| spelling | Rebonato, Riccardo Verfasser aut The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives Riccardo Rebonato, Kenneth McKay, and Richard White Chichester, West Sussex, U.K. John Wiley & Sons 2009 1 Online-Ressource (xi, 284 pages) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references (pages 271-274) and index 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. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedgin LIBOR market model Business BUSINESS & ECONOMICS / Investments & Securities / Bonds bisacsh Derivative securities / Accounting fast Hedging (Finance) / Mathematical models fast Interest rate futures fast Options (Finance) / Prices / Mathematical models fast LIBOR Market Modell stw Finanzderivat stw Zins stw Hedging stw Optionspreistheorie stw Derivat (Wertpapier) swd Hedging swd Mathematisches Modell swd Preisbildung swd Mathematisches Modell Wirtschaft Hedging (Finance) / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities / Accounting Interest rate futures Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Preisbildung (DE-588)4047103-2 s Hedging (DE-588)4123357-8 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 McKay, Kenneth Sonstige oth White, Richard Sonstige oth https://onlinelibrary.wiley.com/doi/book/10.1002/9781119206392 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Rebonato, Riccardo The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives LIBOR market model Business BUSINESS & ECONOMICS / Investments & Securities / Bonds bisacsh Derivative securities / Accounting fast Hedging (Finance) / Mathematical models fast Interest rate futures fast Options (Finance) / Prices / Mathematical models fast LIBOR Market Modell stw Finanzderivat stw Zins stw Hedging stw Optionspreistheorie stw Derivat (Wertpapier) swd Hedging swd Mathematisches Modell swd Preisbildung swd Mathematisches Modell Wirtschaft Hedging (Finance) / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities / Accounting Interest rate futures Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Hedging (DE-588)4123357-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4047103-2 (DE-588)4123357-8 (DE-588)4114528-8 |
| title | The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives |
| title_auth | The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives |
| title_exact_search | The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives |
| title_full | The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives Riccardo Rebonato, Kenneth McKay, and Richard White |
| title_fullStr | The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives Riccardo Rebonato, Kenneth McKay, and Richard White |
| title_full_unstemmed | The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives Riccardo Rebonato, Kenneth McKay, and Richard White |
| title_short | The SABR/LIBOR market model |
| title_sort | the sabr libor market model pricing calibration and hedging for complex interest rate derivatives |
| title_sub | pricing, calibration and hedging for complex interest-rate derivatives |
| topic | LIBOR market model Business BUSINESS & ECONOMICS / Investments & Securities / Bonds bisacsh Derivative securities / Accounting fast Hedging (Finance) / Mathematical models fast Interest rate futures fast Options (Finance) / Prices / Mathematical models fast LIBOR Market Modell stw Finanzderivat stw Zins stw Hedging stw Optionspreistheorie stw Derivat (Wertpapier) swd Hedging swd Mathematisches Modell swd Preisbildung swd Mathematisches Modell Wirtschaft Hedging (Finance) / Mathematical models Options (Finance) / Prices / Mathematical models Derivative securities / Accounting Interest rate futures Derivat Wertpapier (DE-588)4381572-8 gnd Preisbildung (DE-588)4047103-2 gnd Hedging (DE-588)4123357-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | LIBOR market model Business BUSINESS & ECONOMICS / Investments & Securities / Bonds Derivative securities / Accounting Hedging (Finance) / Mathematical models Interest rate futures Options (Finance) / Prices / Mathematical models LIBOR Market Modell Finanzderivat Zins Hedging Optionspreistheorie Derivat (Wertpapier) Mathematisches Modell Preisbildung Wirtschaft Derivat Wertpapier |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781119206392 |
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