PDF Reading The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives English 470740051 PDF

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

Product details

• Hardcover : 199 pages


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


• Language : English


• ISBN-10 : 470740051

 

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

com: The SABR LIBOR Market Model: Pricing
The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives Kindle edition by Rebonato, Riccardo, McKay, Kenneth, White, Richard. Download it once and read it on your Kindle device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex ...
The SABR LIBOR Market Model: Pricing, Calibration and
The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives. The SABR LIBOR Market Model. : Riccardo Rebonato, Kenneth McKay, Richard White. Wiley, Apr 1,...
0470740051 The Sabr libor Market Model: Pricing
The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives (Hardback) Riccardo Rebonato, Kenneth McKay, Richard White. Published by John Wiley & Sons Inc, United States (2009) ISBN 10: 0470740051 ISBN 13: 9780470740057. Hardcover.
The SABR LIBOR Market Model: Pricing, Calibration and
The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives Riccardo Rebonato, Kenneth McKay, Richard White. 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 ...
The SABR LIBOR Market Model: Pricing, Calibration and
Find many great new & used options and get the best deals for The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives by Kenneth McKay, Richard White, Riccardo Rebonato (Hardback, 2009) at the best online prices at eBay!
The SABR LIBOR Market Model: Pricing, Calibration and
Buy The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives by Rebonato, Riccardo, McKay, Kenneth, White, Richard (ISBN: 9780470740057) from 's Book Store. Everyday low prices and free delivery on eligible orders.
The SABR LIBOR Market Model: Pricing, Calibration and
The authors take two market standards, the SABR and the LIBOR Market Model (LMM) and produce a coherent synthesis for the pricing of complex interest rate derivatives. The SABR model has become the market standard to recover the price of European options. Its main strengths are its financial justifiability, and its ability to recover the dynamics of the smile evolution when the underlying changes.
Wiley: The SABR LIBOR Market Model: Pricing, Calibration
The SABR LIBOR Market Model: Pricing, Calibration and Hedging for plex Interest Rate Derivatives. Riccardo Rebonato, Kenneth McKay, Richard White. ISBN: 978 0 470 74005 7. 296 pages. April 2009. Read an Excerpt . Description. This book presents a major innovation in the interest rate space. ...
SABR LIBOR market models: Pricing and calibration for some
In the SABR LIBOR market models, for the general calibration to swaption market prices an explicit formula to price swaptions is not available. Therefore, we use Monte Carlo simulation technique to price swaptions, thus leading to two nested Monte Carlo loops: one for the SA and the other one for the swaption pricer.
option pricing Libor Market Model with SABR Calibration
What is the industry practice in calibrating SABR Libor Market Model? Do you first calibrate the SABR model using market data and then implement the libor market model with the calibrated parameters? I am reading a paper from Hagan and Lesniewski "LIBOR market model with SABR style stochastic volatility" and the paper provides a closed form ...

Book title: The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
File size: 30MB

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Download eBook PDF and Epub, Book eBook France Download The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives Book Ebook PDF Download Book The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives in PDF format Download The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives in PDF format

Share this post