Beschreibung Modern SABR Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians (SpringerBriefs in Quantitative Finance). 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.
Modern SABR Analytics - Formulas and Insights for Quants ~ Formulas and Insights for Quants, Former Physicists and Mathematicians. Authors : Antonov, Alexandre, Konikov, Michael, Spector, Michael Free Preview. Unifies scattered modern SABR analytics in the same text; Intuitive but still rigorous explanation of complicated probabilistic concepts ; Numerous numerical results for both analytics and simulations which can serve as benchmarks; see more .
Modern SABR Analytics: Formulas and Insights for Quants ~ Modern SABR Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians Alexandre Antonov , Michael Konikov , Michael Spector 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.
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Core Titles in Quantitative Finance from Springer ~ Modern SABR Analytics Formulas and Insights for Quants, Former Physicists and Mathematicians. Series: SpringerBriefs in Quantitative Finance. Antonov, Alexandre, Konikov, Michael, Spector, Michael 2019. Price from 42,79 € Available Formats: eBook. Information. 42,79 € (gross) ISBN 978-3-030-10656-0. Immediate eBook download after purchase eBook. This title is also available as an eBook .
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