The SABR/LIBOR Market Model by Riccardo Rebonato
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.RICCARDO REBONATO is Global Head of Market Risk and Global Head of the Quantitative Research Team at RBS. He is a visiting lecturer at Oxford University (Mathematical Finance) and adjunct professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP. He is an editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance, for the Journal of Risk and for the Journal of Risk Management in Financial Institutions. He holds doctorates in Nuclear Engineering and in Science of Materials/Solid State Physics. He was a research fellow in Physics at Corpus Christi College, Oxford, UK.
KENNETH MCKAY is a PhD student at the London School of Economics following a first class honours degree in Mathematics and Economics from the LSE and an MPhil in Finance from Cambridge University. He has been working on interest rate derivative-related research with Riccardo Rebonato for the past year.
RICHARD WHITE holds a doctorate in Particle Physics from Imperial College London, and a first class honours degree in Physics from Oxford University. He held a Research Associate position at Imperial College before joining RBS in 2004 as a Quantitative Analyst. His research interests include option pricing with Levy Processes, Genetic Algorithms for portfolio optimisation, and Libor Market Models with stochastic volatility. He is currently taking a fortuitously timed sabbatical to pursue his joint passion for travel and scuba diving.
| SKU | Unavailable |
| ISBN 13 | 9780470740057 |
| ISBN 10 | 0470740051 |
| Title | The SABR/LIBOR Market Model |
| Author | Riccardo Rebonato |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | John Wiley & Sons Inc |
| Year published | 2009-03-06 |
| Number of pages | 304 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |