LIBROS DEL AUTOR: christian crispoldi

1 resultados para LIBROS DEL AUTOR: christian crispoldi

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  • SABR and SABR LIBOR Market Models in Practice
    Christian Crispoldi / Gérald Wigger / Peter Larkin
    Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joi...
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