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Książka Modern SABR Analytics Alexandre Antonov

Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians

Autor: Alexandre Antonov, Michael Konikov, Michael Spector
Język: Angielski
Oprawa: Miękka
Wydawca: Springer Nature Switzerland AG
Dostępność: Dostępna u dostawcy
Wysyłamy za 5-8 dni
299.36 zł
Focusing on recent advances in option pricing under the SABR model, this book shows how to price opt...

Informacje o książce

Autor
Alexandre Antonov, Michael Konikov, Michael Spector
Język
Angielski
Oprawa
Książka - Miękka
Data wydania
2019
strony
127
EAN
9783030106553
Enbook ID
20852539
Wydawca
Springer Nature Switzerland AG
Waga
226
Wymiary
155 x 235 x 8

Pełny opis

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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