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

By R. Rebonato, K. McKay, Richard White. 2009

94 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f2015b7062c4e6048355d52f2fa94e63e8c3855b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Alan G. White
2. John C. Hull
3. Cornelis W. Oosterlee
4. H. V. D. Weide
5. Fabio Mercurio
6. Bin Chen
7. Samuli Ikonen
8. Jari Toivanen

Citations in the corpus

• A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL (2012, methodology): “In the context of pricing interest rate derivatives, the combination of the SABR model and the market standard Libor Market Models (LMM) [27] is of particular interest.”
• Optimal Delta Hedging for Options (2017, background): “In this model the expected change in the volatility iven a particular change in the futures price is ( d σ | d F ) = ξρ dF F Hagan et al. (2002) and Rebonato et al. (2011) show that under he model defined by Eq.”
• LIBOR Market Models with Stochastic Basis (2010, methodology): “The generalization of the no-arbitrage constraint (30) to the case of tenors x1 and xi reads as”