{"product_id":"the-sabrlibor-market-model-9780470740057","title":"The SABRLIBOR Market Model","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThis 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eAcknowledgements xi\u003c\/p\u003e \u003cp\u003e1 Introduction 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003eI The Theoretical Set-Up 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2 The LIBOR Market Model 9\u003c\/p\u003e \u003cp\u003e3 The SABR Model 25\u003c\/p\u003e \u003cp\u003e4 The LMM-SABR Model 51\u003c\/p\u003e \u003cp\u003e\u003cb\u003eII Implementation and Calibration 79\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5 Calibrating the LMM-SABR Model to Market Caplet Prices 81\u003c\/p\u003e \u003cp\u003e6 Calibrating the LMM-SABR Model to Market Swaption Prices 101\u003c\/p\u003e \u003cp\u003e7 Calibrating the Correlation Structure 125\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIII Empirical Evidence 141\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8 The Empirical Problem 143\u003c\/p\u003e \u003cp\u003e9 Estimating the Volatility of the Forward Rates 159\u003c\/p\u003e \u003cp\u003e10 Estimating the Correlation Structure 181\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIV Hedging 203\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11 Various Types of Hedging 205\u003c\/p\u003e \u003cp\u003e12 Hedging against Moves in the Forward Rate and in the Volatility 221\u003c\/p\u003e \u003cp\u003e13 (LMM)-SABR Hedging in Practice: Evidence from Market Data 231\u003c\/p\u003e \u003cp\u003e14 Hedging the Correlation Structure 247\u003c\/p\u003e \u003cp\u003e15 Hedging in Conditions of Market Stress 257\u003c\/p\u003e \u003cp\u003eReferences 271\u003c\/p\u003e \u003cp\u003eIndex 275\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402420199767,"sku":"9780470740057","price":64.6,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470740057.jpg?v=1730480345","url":"https:\/\/bookcurl.com\/products\/the-sabrlibor-market-model-9780470740057","provider":"Book Curl","version":"1.0","type":"link"}