SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (pdf)

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Author Christian Crispoldi, Gérald Wigger, Peter Larkin
Edition 1
Edition Year 2016
Format PDF
ISBN 9781137378637
Language English
Number Of Pages 237
Publisher Palgrave Macmillan

Description

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 an understanding of their failings and alternatives.

Additional information

Author

Christian Crispoldi, Gérald Wigger, Peter Larkin

Edition

1

Edition Year

2016

Format

PDF

ISBN

9781137378637

Language

English

Number Of Pages

237

Publisher

Palgrave Macmillan

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