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Modern SABR Analytics

Modern SABR Analytics

von Alexandre Antonov, Michael Konikov und Michael Spector
Softcover - 9783030106553
74,89 €
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Beschreibung

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.

Formulas and Insights for Quants, Former Physicists and Mathematicians

Details

Verlag Springer International Publishing
Ersterscheinung 02. Mai 2019
Maße 23.5 cm x 15.5 cm
Gewicht 224 Gramm
Format Softcover
ISBN-13 9783030106553
Seiten 127

Schlagwörter

Angewandte Mathematik, Game Theory, Mathematics in Business - Economics and Finance, Probability Theory, Spieltheorie, Stochastik, Wahrscheinlichkeitsrechnung und Statistik, Wirtschaftswissenschaft - Finanzen - Betriebswirtschaft und Management

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