The Sabr/Libor Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

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9780470740057: The Sabr/Libor Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

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 as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress

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Rebonato, Riccardo and McKay, Kenneth and White, Richard
Editore: John Wiley and Sons (2009)
ISBN 10: 0470740051 ISBN 13: 9780470740057
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Descrizione libro John Wiley and Sons, 2009. Hardcover. Condizione libro: New. Dispatched, from the UK, within 48 hours of ordering. This book is in Brand New condition. Codice libro della libreria CHL1886774

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Riccardo Rebonato, Kenneth McKay, Richard White
Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470740051 ISBN 13: 9780470740057
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. 249 x 173 mm. Language: English . Brand New Book. 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 as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today s market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn t obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress. Codice libro della libreria AAH9780470740057

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Riccardo Rebonato (Royal Bank of Scotland Group, UK); Kenneth McKay (London School of Economics); Richard White (Royal Bank of Scotland)
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Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 0470740051

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Riccardo Rebonato, Kenneth McKay, Richard White
Editore: John Wiley and Sons Ltd, United Kingdom (2009)
ISBN 10: 0470740051 ISBN 13: 9780470740057
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2009. Hardback. Condizione libro: New. 1. Auflage. 249 x 173 mm. Language: English . Brand New Book. 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 as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today s market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn t obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress. Codice libro della libreria AAH9780470740057

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Riccardo Rebonato
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ISBN 10: 0470740051 ISBN 13: 9780470740057
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Descrizione libro John Wiley and#38; Sons, 2009. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470740057

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Descrizione libro 2009. Hardcover. Condizione libro: New. 1st. 172mm x 250mm x 23mm. Hardcover. 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 v.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 296 pages. 0.678. Codice libro della libreria 9780470740057

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Rebonato, Riccardo; McKay, Kenneth; White, Richard
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Descrizione libro Wiley, 2009. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470740051

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Descrizione libro 2009. Hardback. Condizione libro: NEW. 9780470740057 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0771427

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ISBN 10: 0470740051 ISBN 13: 9780470740057
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Descrizione libro John Wiley And Sons Ltd, 2009. Hardcover. Condizione libro: Brand New. 1st edition. 296 pages. 9.80x6.80x0.90 inches. In Stock. Codice libro della libreria __0470740051

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Rebonato, Riccardo, McKay, Kenneth, Whit
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Descrizione libro Wiley, 2009. Hardcover. Condizione libro: New. Codice libro della libreria P110470740051

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