The SABR/LIBOR Market Model

by Richard White, Riccardo Rebonato, Kenneth McKay

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,...

• Format: Hardcover
• Language: English
• ISBN: 0470740051
• ISBN13: 9780470740057
• Release Date: April 2009
• Publisher: Wiley
• Length: 304 Pages
• Weight: 1.40 lbs.
• Dimensions: 0.9" x 6.5" x 9.6"