All ebooks by Richard White in PDF and EPUB
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All ebooks by Richard White in PDF and EPUB


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Download this eBook The SABR/LIBOR Market Model
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The SABR/LIBOR Market Model


Kenneth Mckay , Riccardo Rebonato , Richard White


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...

Publication date: 2010-04-01
Format: PDF, ePub
Publisher: Wiley
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£71,74

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