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Carte Modern SABR Analytics Alexandre Antonov

Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians

Autor: Alexandre Antonov, Michael Konikov, Michael Spector
Limbă: engleză
Legare: Carte broșată
Editura: Springer Nature Switzerland AG
Disponibilitate: În depozitul extern
Expediem în 5-8 zile
387.13 lei
Focusing on recent advances in option pricing under the SABR model, this book shows how to price opt...

Informații despre carte

Autor
Alexandre Antonov, Michael Konikov, Michael Spector
Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2019
Pagini
127
EAN
9783030106553
Enbook ID
20852539
Editura
Springer Nature Switzerland AG
Greutate
226
Dimensiuni
155 x 235 x 8

Descriere completă

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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