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SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)
Crispoldi, Christian, Wigger, Gérald, Larkin, Peter
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Description for SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)
Hardcover. A hands-on guide to interest rate modelling, including the SABR model, the market standard for vanilla products, and the LIBOR market model, the most commonly used model for exotic products. This accessible book also provides an explanation of the extended SABR LIBOR market model. Series: Applied Quantitative Finance. Num Pages: 240 pages, 54 figures, 49 black & white tables. BIC Classification: KFFM; PBWH. Category: (P) Professional & Vocational. Dimension: 167 x 241 x 23. Weight in Grams: 522.
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 à 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 ... Read more
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 à 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 ... Read more
Product Details
Format
Hardback
Publication date
2016
Publisher
Palgrave Macmillan
Condition
New
Series
Applied Quantitative Finance
Number of Pages
216
Place of Publication
Basingstoke, United Kingdom
ISBN
9781137378637
SKU
V9781137378637
Shipping Time
Usually ships in 5 to 9 working days
Ref
99-88
About Crispoldi, Christian, Wigger, Gérald, Larkin, Peter
Christian Crispoldi is a Vice President at Nomura Holding America Inc., in New York where he is responsible for the valuation and pricing of interest rate derivatives. Previously he worked as a financial engineer in various banks across Europe. Christian holds a Masters degree in Mathematical Finance from the University of York, UK, and a bachelor degree in Computer Engineering ... Read more
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