Modern SABR Analytics Formulas and Insights for Quants, Former Physicists and Mathematicians /

• Κύριοι συγγραφείς: Antonov, Alexandre (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut), Konikov, Michael (http://id.loc.gov/vocabulary/relators/aut), Spector, Michael (http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Έκδοση: 1st ed. 2019.
• Σειρά: SpringerBriefs in Quantitative Finance,
• Θέματα: Economics, Mathematical .; Probabilities.; Game theory.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Game Theory, Economics, Social and Behav. Sciences.
• Φυσική περιγραφή: IX, 127 p. 15 illus., 14 illus. in color. online resource.
• ISBN: 9783030106560
• ISSN: 2192-7006
• DOI: 10.1007/978-3-030-10656-0

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.