Téléchargez le livre : Modern SABR Analytics

Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians de

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Éditeur :

Springer


Paru le : 2019-04-23

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Description


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.
Pages
127 pages
Collection
n.c
Parution
2019-04-23
Marque
Springer
EAN papier
9783030106553
EAN PDF
9783030106560
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
12
Taille du fichier
2990 Ko
Prix
73,84 €
EAN EPUB
9783030106560
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
12
Taille du fichier
8653 Ko
Prix
73,84 €

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