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SABR and SABR LIBOR Market Models in Practice - With Examples Implemented in Python (Hardcover, 1st ed. 2015)
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SABR and SABR LIBOR Market Models in Practice - With Examples Implemented in Python (Hardcover, 1st ed. 2015)
Series: Applied Quantitative Finance
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Interest rate traders have been using the SABR model to price
vanilla products for more than a decade. However this model suffers
however from a severe limitation: its inability to value exotic
products. A term structure model a la LIBOR Market Model (LMM) is
often employed to value these more complex derivatives, however the
LMM is unable to capture the volatility smile. A joint SABR LIBOR
Market Model is the natural evolution towards a consistent pricing
of vanilla and exotic products. Knowledge of these models is
essential to all aspiring interest rate quants, traders and risk
managers, as well an understanding of their failings and
alternatives. SABR and SABR Libor Market Models in Practice is an
accessible guide to modern interest rate modelling. Rather than
covering an array of models which are seldom used in practice, it
focuses on the SABR model, the market standard for vanilla
products, the LIBOR Market Model, the most commonly used model for
exotic products and the extended SABR LIBOR Market Model. The book
takes a hands-on approach, demonstrating simply how to implement
and work with these models in a market setting. It bridges the gap
between the understanding of the models from a conceptual and
mathematical perspective and the actual implementation by
supplementing the interest rate theory with modelling specific,
practical code examples written in Python.
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