Asia Risk - 2007-12-01
Articles in this issue
Pressure point
Editor's letter
Rates rebound
Interest rates
Talking liquidity
Conference report
A change of scene
Scenario analysis
Taking cover from falling stocks
Pre-IPO trading
A breath of French flair
Asia Risk Awards 2007
Viva volatility
Asia Risk Interdealer Survey 2007
A time-homogeneous, SABR-consistent extension of the LMM
Riccardo Rebonato proposes an extension of the Libor market model (LMM) that recovers the stochastic, alpha, beta, rho (SABR) caplet prices almost exactly for all strikes and maturities. The dynamics of the volatility are chosen so as to be consistent…
Scorched credit
Cover Story
On the move
People
China's great leap forward
Documentation
Wordly wise
Profile
Asset class breakdown
Asia Risk Awards 2007
Financial shell games
Opinion
Safe from subprime?
Australian credit
Growing pains
Commodities
A rising market?
Australian inflation
Asia Risk interdealer survey 2007: Dealers
Deutsche dethroned
Wide of the mark?
Prime broking