The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
by Richard White, Riccardo Rebonato, Kenneth Mckay
The SABR/LIBOR Market Model presents a focused treatment of pricing, calibration, and hedging for complex interest-rate derivatives. Centered on the SABR and LIBOR market models, this technical reference is suited to readers exploring quantitative finance, mathematical modeling, and the analysis of sophisticated interest-rate products.
About This Book
The SABR/LIBOR Market Model addresses the pricing, calibration, and hedging of complex interest-rate derivatives.
It focuses on two prominent market-model frameworks identified in the title: SABR and LIBOR.
The book is intended for readers seeking a technical treatment of interest-rate derivative analysis.
Written by Richard White, Riccardo Rebonato, and Kenneth Mckay, it brings together core topics in quantitative finance.
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