Link to the ebook : http://ezproxy.univ-catholille.fr/login?url=https://www.vleb...

eISBN : 9780470744888

Contents : Introduction

1. The Theoretical Set-Up
The LIBOR Market Model
The SABR Model
The LMM-SABR Model

2. 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

3. Empirical Evidence
The Empirical Problem
Estimating the Volatility of the Forward Rates
Estimating the Correlation Structure

4. Hedging
Various Types of Hedging
Hedging against Moves in the Forward Rate and in the Volatility
(LMM)-SABR Hedging in Practice: Evidence from Market Data
Hedging the Correlation Structure
Hedging in Conditions of Market Stress

References
Index

Language : English

Place of publishing : TORONTO

Location : Nice Library

Material : Electronic

Statement : Présent

Faculty's books : Oui

Owner : Bibliothèque