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Modern SABR Analytics

Modern SABR Analytics

Alexandre Antonov / Michael Konikov / Michael Spector

80,43 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2019
Materia
Probabilidad y estadística
ISBN:
9783030106553
80,43 €
IVA incluido
Disponible

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Sobre IBD

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.

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