The Sabr/Libor Market Model - Pricing, Calibrationand Hedging for Complex Interest-Rate Derivatives

SABR/LIBOR 市场模型:复利率金融衍生品定价、定标与避险

货币银行学

原   价:
1438.75
售   价:
1151.00
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平台大促 低至8折优惠
发货周期:预计3-5周发货
作      者
出  版 社
出版时间
2009年03月06日
装      帧
精装
ISBN
9780470740057
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页      码
296
语      种
英文
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图书简介
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 of option pricing that takes into account the need to calibrate
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