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Modern SABR Analytics
- Formulas and Insights for Quants, Former Physicists and Mathematicians
Engelsk Paperback

Modern SABR Analytics

- Formulas and Insights for Quants, Former Physicists and Mathematicians
Engelsk Paperback

554 kr
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23 - 25 hverdage

Om denne bog

Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with additional degrees of freedom, allowing simultaneous model calibration to swaptions and CMSs.

Since the SABR model is used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia.

Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance.


Product detaljer
Sprog:
Engelsk
Sider:
127
ISBN-13:
9783030106553
Indbinding:
Paperback
Udgave:
ISBN-10:
3030106551
Kategori:
Udg. Dato:
2 maj 2019
Længde:
0mm
Bredde:
155mm
Højde:
235mm
Forlag:
Springer Nature Switzerland AG
Oplagsdato:
2 maj 2019
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