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The SABR/LIBOR Market Model

Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

The SABR/LIBOR Market Model by Riccardo Rebonato
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US$ 119.00
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This is the best of Rebonato’s books. The conversational spirit of the previous manuscripts is here pleasantly retained. But, the value added is the mathematical rigor that permeates the description of the proposed model. Definitely a must.”

Fabio Mercurio, Senior Quantitative Analyst, Bloomberg New York

A book that has all the hallmarks of Riccardo Rebonato: rigorous theory, up-to-date market knowledge, practical application, and empirical testing to destruction. This time, with co-authors, he applies himself to the most central banking market: LIBOR-related contracts.”

Ian Cooper, Professor of Finance, London Business School

In this concise book Riccardo Rebonato and his co-authors introduce a new financially motivated model combining the best features of the Libor Market and SABR models. The authors provide a useful roadmap to pricing, calibrating, and hedging interest rate derivatives in the new framework. The book will be of interest to practitioners and academics alike.”

Alexander Lipton, Managing Director, Merrill Lynch and Visiting Professor, Imperial College

Wiley; April 2010
296 pages; ISBN 9781119995630
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Title: The SABR/LIBOR Market Model
Author: Riccardo Rebonato; Kenneth McKay; Richard White
Buy, download and read The SABR/LIBOR Market Model (eBook) by Riccardo Rebonato; Kenneth McKay; Richard White today!