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Modern SABR Analytics
Formulas and Insights for Quants, Former Physicists and Mathematicians
Language
English
English
Book
Paperback
Focusing on recent advances in option pricing under the SABR model, this book shows how to price opt...
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Libristo code: 20852539
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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.
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About the book
Full name
Modern SABR Analytics
Language
English
English
Binding
Book - Paperback
Date of issue
2019
Number of pages
127
EAN
9783030106553
Libristo code
20852539
Publishers
Springer Nature Switzerland AG
Weight
226
Dimensions
155 x 235 x 8
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