img Leseprobe Leseprobe

SABR and SABR LIBOR Market Models in Practice

With Examples Implemented in Python

Christian Crispoldi, Gérald Wigger, Peter Larkin, et al.

PDF
ca. 85,59
Amazon iTunes Thalia.de Weltbild.de Hugendubel Bücher.de ebook.de kobo Osiander Google Books Barnes&Noble bol.com Legimi yourbook.shop Kulturkaufhaus ebooks-center.de
* Affiliatelinks/Werbelinks
Hinweis: Affiliatelinks/Werbelinks
Links auf reinlesen.de sind sogenannte Affiliate-Links. Wenn du auf so einen Affiliate-Link klickst und über diesen Link einkaufst, bekommt reinlesen.de von dem betreffenden Online-Shop oder Anbieter eine Provision. Für dich verändert sich der Preis nicht.

Palgrave Macmillan UK img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Volkswirtschaft

Beschreibung


Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives.
SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products andthe extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.    

Weitere Titel in dieser Kategorie
Cover Modern Money Theory
L. Randall Wray
Cover Building an Olive-Shaped Society
CICC Research, CICC Global Institute
Cover Money and Inflation
Mehdi Chowdhury
Cover The Rise of China’s Innovation Economy
CICC Research, CICC Global Institute
Cover The Long 2020
Subhas Ranjan Chakraborty

Kundenbewertungen

Schlagwörter

Monte Carlo Simulation, banking, Simulation, evolution, derivatives, volatility