The SABR/LIBOR market model pricing, calibration and hedging for complex interest-rate derivatives - Rebonato, Riccardo; McKay, Kenneth, 1981-; White, Richard, 1976-; ProQuest (Firm) (Hoboken, NJ : John Wiley & Sons, 2009)
Includes bibliographical references and index.
Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
Keywords: Hedging (Finance) -- Mathematical models; Options (Finance) -- Prices -- Mathematical models; Derivative securities -- Accounting; Interest rate futures; LIBOR market model; Electronic books