The SABR/LIBOR Market Model: Pricing, Calibration and Hedging

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

网上找到的，便宜出售
The.SABR.LIBOR.Market.Model.Pricing.Calibration.n.Hedging.rar (1.96 MB, 需要: 5 个论坛币)

2011-9-12 23:07:55 上传

The.SABR.LIBOR.Market.Model.Pricing.Calibration.n.Hedging
需要: 5 个论坛币  [购买]

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
Hardcover: 296 pages Publisher: Wiley (April 27, 2009) Language: English ISBN-10: 0470740051 ISBN-13: 978-0470740057

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 ofoption 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.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：calibration hedging Pricing Pricin market innovation interest Complex English LIBOR

感谢楼主！

thank you so much! although the sabr model does not perform well in high wing and low wing, but still, widely used in pricing exotics.

thanks for sharing..

iverson_cy 发表于 2011-12-1 01:05
thank you so much! although the sabr model does not perform well in high wing and low wing, but stil ...

could you please elaborate the issues on wings? thanks.

tahkks for sharding