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

Rebonato, Riccardo - 2009 - 1st ed.

"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,...

Persistent link: https://www.econbiz.de/10012688953

The SABR/LIBOR market model : pricing, calibrating and hedging for complex interst-rate derivatives

Rebonato, Riccardo; McKay, Kenneth; White, Richard - 2009

Persistent link: https://www.econbiz.de/10003767860

Linking caplets and swaptions prices in the LMM-SABR model

Rebonato, Riccardo; White, Richard - In: The journal of computational finance 13 (2009/10) 2, pp. 19-45

Persistent link: https://www.econbiz.de/10003949865

A swaption volatility model using Markov regime switching

White, Richard; Rebonato, Riccardo - In: The journal of computational finance 12 (2008) 1, pp. 79-114

Persistent link: https://www.econbiz.de/10009534634

CUTTING EDGE - Interest rate derivatives - Delt and vega hedging in the SABR and LMM-SABR models - The authors examine the hedging performance of the SABR and LMM-SABR models using...

Rebonato, Riccardo; Pogudin, Andrey; White, Richard - In: Risk : managing risk in the world's financial markets 21 (2008) 12, pp. 94-99

Persistent link: https://www.econbiz.de/10008157246

Derivatives markets

Anderson, Ronald W.; McKay, Kenneth - In: Handbook of European financial markets and institutions, (pp. 568-596). 2008

Persistent link: https://www.econbiz.de/10003605627

Executing production schedules in the face of uncertainties: A review and some future directions

Aytug, Haldun; Lawley, Mark A.; Mckay, Kenneth; Mohan, … - In: European journal of operational research : EJOR 161 (2005) 1, pp. 86-110

Persistent link: https://www.econbiz.de/10006641830

Practice-Focused Research Issues for Scheduling Systems

McKay, Kenneth; Pinedo, Michael; Webster, Scott - In: Production and operations management : an international … 11 (2002) 2, pp. 249-258

Persistent link: https://www.econbiz.de/10007165240

Executing production schedules in the face of uncertainties: A review and some future directions

Aytug, Haldun; Lawley, Mark A.; McKay, Kenneth; Mohan, … - In: European Journal of Operational Research 161 (2005) 1, pp. 86-110

Persistent link: https://www.econbiz.de/10005287561

The production and marketing of crafts from Kgalagadi district : final report

White, Richard - 1986

Persistent link: https://www.econbiz.de/10000803911

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