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Книга Modern SABR Analytics Alexandre Antonov

Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians

Автор: Alexandre Antonov, Michael Konikov, Michael Spector
Език: Английски език
Корици: С меки корици
Издател: Springer Nature Switzerland AG
Наличност: Външен склад
Изпращаме след 5-8 дни
73.70 € 144.15 лв
Focusing on recent advances in option pricing under the SABR model, this book shows how to price opt...

Информация за книгата

Автор
Alexandre Antonov, Michael Konikov, Michael Spector
Език
Английски език
Корици
Книга - С меки корици
Издадена
2019
страници
127
EAN
9783030106553
Enbook ID
20852539
Издател
Springer Nature Switzerland AG
Теглоt
226
Размери
155 x 235 x 8

Пълно описание

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.

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