Description: SABR and SABR LIBOR Market Models in Practice : With Examples Implemented in Python, Hardcover by Crispoldi, Christian; Wigger, Gerald; Larkin, Peter, ISBN 1137378638, ISBN-13 9781137378637, Like New Used, Free shipping in the US 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 and the extended SABR LIBOR Market Model. Th 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.
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Book Title: SABR and SABR LIBOR Market Models in Practice : With Examples Imp
Number of Pages: Xxi, 216 Pages
Language: English
Publication Name: Sabr and Sabr Libor Market Models in Practice : with Examples Implemented in Python
Publisher: Palgrave Macmillan The Limited
Item Height: 0.8 in
Publication Year: 2015
Subject: Finance / General, Investments & Securities / Options, Industries / Financial Services, Econometrics, Programming Languages / Python, Investments & Securities / General
Type: Textbook
Item Weight: 18.2 Oz
Item Length: 9.5 in
Author: Peter Larkin, Gérald Wigger, Christian Crispoldi
Subject Area: Computers, Business & Economics
Item Width: 6.4 in
Series: Applied Quantitative Finance Ser.
Format: Hardcover
