Leviton

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.

Price: 117.53 USD

Location: Jessup, Maryland

End Time: 2024-12-23T20:53:41.000Z

Shipping Cost: 0 USD

Product Images

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

Item Specifics

Return shipping will be paid by: Buyer

All returns accepted: Returns Accepted

Item must be returned within: 14 Days

Refund will be given as: Money Back

Return policy details:

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

Recommended

Keeping Sabr: Heal with Proven Sunnah Practices for Emotional Wellbeing and Ment
Keeping Sabr: Heal with Proven Sunnah Practices for Emotional Wellbeing and Ment

$16.29

View Details
Lessons In Sabre, Singlestick, Sabre & Bayonet, And Sword Feats
Lessons In Sabre, Singlestick, Sabre & Bayonet, And Sword Feats

$7.00

View Details
Bakugan Pyrus Gren 1080G & Battle Sabre 100G Red Gundalian Invaders W/Cards!
Bakugan Pyrus Gren 1080G & Battle Sabre 100G Red Gundalian Invaders W/Cards!

$12.00

View Details
AC Compressor Pontiac Bonnenville Buick Riviera Le Sabre 1996-2005 3.8L
AC Compressor Pontiac Bonnenville Buick Riviera Le Sabre 1996-2005 3.8L

$89.85

View Details
ESCI #4008 F-100D S. Sabre 1:48 Decals - New
ESCI #4008 F-100D S. Sabre 1:48 Decals - New

$15.00

View Details
1970-71 Buffalo Sabres Team Issue Postcards (B&W) -JOE DALEY *Uncataloged*
1970-71 Buffalo Sabres Team Issue Postcards (B&W) -JOE DALEY *Uncataloged*

$19.99

View Details
Reservations And Ticketing With Sabre
Reservations And Ticketing With Sabre

$21.65

View Details
Vintage Blue Throated Sabre Wing Hummingbird Native Of Tobago Plate 34
Vintage Blue Throated Sabre Wing Hummingbird Native Of Tobago Plate 34

$42.50

View Details
Stator & Gasket for Honda VT1100C2 Shadow Sabre 1100 2000-2007 Magneto
Stator & Gasket for Honda VT1100C2 Shadow Sabre 1100 2000-2007 Magneto

$45.00

View Details
John Deere Sabre 1542HS Rear Mower Deck Lift Linkage and Handle
John Deere Sabre 1542HS Rear Mower Deck Lift Linkage and Handle

$99.99

View Details