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Könyv Modern SABR Analytics Alexandre Antonov

Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians

Szerző: Alexandre Antonov, Michael Konikov, Michael Spector
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: Springer Nature Switzerland AG
Elérhetőség: Beszállítói készleten
Küldés 5-8 napon belül
27 670 Ft
Focusing on recent advances in option pricing under the SABR model, this book shows how to price opt...

Információk a könyvről

Szerző
Alexandre Antonov, Michael Konikov, Michael Spector
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2019
oldal
127
EAN
9783030106553
Enbook ID
20852539
Kiadó
Springer Nature Switzerland AG
Súly
226
Méretek
155 x 235 x 8

Teljes leírás

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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