£52.42

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

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£54.99 £42.67 £45.36 £48.05 £50.73 £53.42 £56.11 09 June 2024 31 October 2024 24 March 2025 15 August 2025 06 January 2026

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Description

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. Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
02 May 2019
Listed Since
27 November 2018

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