Titlebook: SABR and SABR LIBOR Market Models in Practice; With Examples Implem Christian Crispoldi,Gérald Wigger,Peter Larkin Book 2015 The Editor(s)

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LIBOR Market Model,n the story of interest rate modelling. We then make a natural transition from the more general short rate models to the Heath-Jarrow-Morton framework, then to the definition of the LIBOR Market Model (LMM).

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Introduction,In the last two decades an extensive selection of books on interest rate or equity derivatives modelling became available through various publishers. We therefore take the opportunity to say a few words on the main texts out there and how our work complements the current literature.

Meditative

Vanilla Models,We have defined, in Section 3.4, how the value of caps/floors (as well as caplets/floorlets) depends on the future distribution of .(.) under the .-forward measure Q. associated with the numeraire . (.,.). Equivalently, the swaption value depends on the future distribution of .(.) under the swap measure Q. associated with the numeraire . (.).

synchronous

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Zielbasiert vergüten978-3-658-13160-9Series ISSN 2197-6708 Series E-ISSN 2197-6716