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

• Main Authors: Antonov, Alexandre (Author, 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)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: SpringerBriefs in Quantitative Finance,
• Subjects: Economics, Mathematical .; Probabilities.; Game theory.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Game Theory, Economics, Social and Behav. Sciences.

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...