LIBROS DEL AUTOR: alexandre antonov

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  • Modern SABR Analytics
    Alexandre Antonov / Michael Konikov / Michael Spector
    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 ...
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