The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Intere
102,67 €
With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. The Libor Market model. The SABR Model. RICCARDO REBONATO is Global Head of Market Risk and Global Head of the Quantitative Research Team at RBS.
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