CUTTING EDGE - Interest rate derivatives - Delt and vega hedging in the SABR and LMM-SABR models - The authors examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are extremely encouraging in both respects.
| Year of publication: |
2008
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|---|---|
| Authors: | Rebonato, Riccardo ; Pogudin, Andrey ; White, Richard |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 12, p. 94-99
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