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.

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...