The SABR/LIBOR market model
Subtitle: pricing, calibration and hedging for complex interest-rate derivatives
By: Riccardo Rebonato Kenneth McKay Richard White.
Contributors: McKay, Kenneth, 1981-; White, Richard, 1976-
Publisher: John Wiley & Sons
Published: 2009
Place of publication: Hoboken, NJ
Language: eng
ISBN-13: 9780470740057
Subjects: Hedging (Finance) -- Mathematical models; Options (Finance) -- Prices -- Mathematical models; Derivative securities -- Accounting; Interest rate futures
Notes: Includes bibliographical references and index.