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Modern SABR Analytics - Formulas and Insights for Quants, Former Physicists and Mathematicians (Paperback, 1st ed. 2019)
Loot Price: R1,875
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Modern SABR Analytics - Formulas and Insights for Quants, Former Physicists and Mathematicians (Paperback, 1st ed. 2019)
Series: SpringerBriefs in Quantitative Finance
Expected to ship within 10 - 15 working days
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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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