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eISBN : 9780470744888

Sommaire : 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

Langue : Anglais

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque