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SABR and SABR LIBOR Market Models in Practice : With Examples Implemented in ...

Description: SABR and SABR LIBOR Market Models in Practice : With Examples Implemented in Python, Hardcover by Crispoldi, Christian; Wigger, Gerald; Larkin, Peter, ISBN 1137378638, ISBN-13 9781137378637, Brand New, Free shipping in the US 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 and the extended SABR LIBOR Market Model. Th 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.

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SABR and SABR LIBOR Market Models in Practice : With Examples Implemented in ...

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Book Title: SABR and SABR LIBOR Market Models in Practice : With Examples Imp

Number of Pages: Xxi, 216 Pages

Language: English

Publication Name: Sabr and Sabr Libor Market Models in Practice : with Examples Implemented in Python

Publisher: Palgrave Macmillan The Limited

Item Height: 0.8 in

Publication Year: 2015

Subject: Finance / General, Investments & Securities / Options, Industries / Financial Services, Econometrics, Programming Languages / Python, Investments & Securities / General

Type: Textbook

Item Weight: 18.2 Oz

Item Length: 9.5 in

Author: Peter Larkin, Gérald Wigger, Christian Crispoldi

Subject Area: Computers, Business & Economics

Item Width: 6.4 in

Series: Applied Quantitative Finance Ser.

Format: Hardcover

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