Asia Risk
Financial shell games
Opinion
Asset class breakdown
Asia Risk Awards 2007
Wordly wise
Profile
China's great leap forward
Documentation
On the move
People
Scorched credit
Cover Story
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…
Viva volatility
Asia Risk Interdealer Survey 2007
A breath of French flair
Asia Risk Awards 2007
Taking cover from falling stocks
Pre-IPO trading
A change of scene
Scenario analysis
Talking liquidity
Conference report
Rates rebound
Interest rates
Pressure point
Editor's letter