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Modern SABR Analytics - Formulas and Insights for Quants, Former Physicists and Mathematicians (Paperback, 1st ed. 2019) Loot Price: R1,875
Discovery Miles 18 750
Modern SABR Analytics - Formulas and Insights for Quants, Former Physicists and Mathematicians (Paperback, 1st ed. 2019):...

Modern SABR Analytics - Formulas and Insights for Quants, Former Physicists and Mathematicians (Paperback, 1st ed. 2019)

Alexandre Antonov, Michael Konikov, Michael Spector

Series: SpringerBriefs in Quantitative Finance

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Loot Price R1,875 Discovery Miles 18 750 | Repayment Terms: R176 pm x 12*

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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.

General

Imprint: Springer Nature Switzerland AG
Country of origin: Switzerland
Series: SpringerBriefs in Quantitative Finance
Release date: May 2019
First published: 2019
Authors: Alexandre Antonov • Michael Konikov • Michael Spector
Dimensions: 235 x 155mm (L x W)
Format: Paperback
Pages: 127
Edition: 1st ed. 2019
ISBN-13: 978-3-03-010655-3
Categories: Books > Business & Economics > Finance & accounting > General
Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Science & Mathematics > Mathematics > Optimization > Game theory
Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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LSN: 3-03-010655-1
Barcode: 9783030106553

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