||11 of 11 people found the following review helpful.| aTrader|By aTrader|I am surprised this book only got 1 reiew after been published more than a year. I am a trader in rates vol, and have a MS degree in MFE. I have briefly read through the book especially the models and the hedging parts. I enjoyed the parts that described the impacts of the alpha/beta/rho/nu to the skew, and I liked the parts of hedging adjustments very muc|From the Inside Flap|“This is the best of Rebonato’s books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. De
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 o...
[PDF.ws95] The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Rating: 4.95 (412 Votes)
The SABR/LIBOR Market Model: Riccardo Rebonato, Kenneth McKay, Richard White epub The SABR/LIBOR Market Model: Riccardo Rebonato, Kenneth McKay, Richard White pdf download The SABR/LIBOR Market Model: Riccardo Rebonato, Kenneth McKay, Richard White audiobook The SABR/LIBOR Market Model: Riccardo Rebonato, Kenneth McKay, Richard White review The SABR/LIBOR Market Model: Riccardo Rebonato, Kenneth McKay, Richard White summary The SABR/LIBOR Market Model: Riccardo Rebonato, Kenneth McKay, Richard White textbooks
You can specify the type of files you want, for your gadget.The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives | Riccardo Rebonato, Kenneth McKay, Richard White. I was recommended this book by a dear friend of mine.
