SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance) - Image 1

£60.00

MACMILLAN SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)

Name: SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)
Brand: MACMILLAN
Price: 60.0 GBP
Availability: InStock

Econometrics

About as cheap as it gets. The only time it was cheaper was 11 months ago.

£60 today · all-time low £60 (Jun 2025) · usually the usual

NEW HERE?

Amazon shows you one price. We show you all of them.

Tosheroon watches Amazon prices so you don't have to. Every product on Amazon has a price history — we make it visible. Set the price you'd actually pay, and we'll email you the second it gets there. No app, no account, one email.

WHAT'S ON THIS PAGE

↓ Price chart
when this has been cheap or pricey

↓ Forecast
where the price is heading next

↓ Statistics
all-time high & low, recent range

↑ Price alert
name your number, we'll email you

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 495 days • 495 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 495 days • 6 price levels

Days at Price

Current Price

Price Analysis

Most common price: £60 (234 days, 47.3%)

Price range: £60 - £104

Price levels: 6 different prices over 495 days

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. 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 andthe 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.

Product Specifications

Brand: MACMILLAN
Format: Hardcover
ASIN: 1137378638
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 29 September 2015
Listed Since: 05 March 2015

Barcode

No barcode data available

MACMILLAN SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)

About as cheap as it gets. The only time it was cheaper was 11 months ago.

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Robust Libor Modelling and Pricing of Derivative Products (Chapman and Hall/CRC Financial Mathematics Series)

Engineering BGM (Chapman and Hall/CRC Financial Mathematics Series)

Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

Modern Pricing of Interest–Rate Derivatives – The LIBOR Market Model and Beyond

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation (Applied Quantitative Finance)

Interest Rate Modeling. Volume 3: Products and Risk Management

Interest Rate Modeling: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Term-Structure Models: A Graduate Course (Springer Finance)

Coding Interest Rates: FX, Swaps and Bonds

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Pricing and Trading Interest Rate Derivatives: A Practical Guide to Swaps

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

Modern SABR Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians (SpringerBriefs in Quantitative Finance)

Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (third Edition): 3rd Edition: 1 (Advanced Series On Statistical Science And Applied Probability)

Pricing and Hedging Interest and Credit Risk Sensitive Instruments

Interest Rate Modeling for Risk Management: Market Price of Interest Rate Risk (Second Edition): 1 (Economics: Current and Future Developments)

Trading the Fixed Income, Inflation and Credit Markets: A Relative Value Guide (The Wiley Finance Series)

Efficient Methods for Valuing Interest Rate Derivatives (Springer Finance)

Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging (Frontiers in Finance Series)

Term-Structure Models: A Graduate Course (Springer Finance)

Fixed Income Relative Value Analysis + Website: A Practitioner's Guide to the Theory, Tools, and Trades (The Wiley Finance Series)

Swaps and Other Derivatives: 480 (The Wiley Finance Series)

Modeling Fixed-Income Securities and Interest Rate Options: Second Edition

Routledge Demystifying Fixed Income Analytics Book