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portada Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians
Type
Physical Book
Author
Publisher
Language
English
Pages
127
Format
Paperback
Dimensions
23.4 x 15.6 x 0.8 cm
Weight
0.20 kg.
ISBN13
9783030106553
Categories

Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians

Alexandre Antonov (Author) · Michael Konikov (Author) · Michael Spector (Author) · Springer · Paperback

Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians - Antonov, Alexandre ; Konikov, Michael ; Spector, Michael

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Synopsis "Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians"

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.

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