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商品詳細
Modern SABR Analytics : Formulas and Insights for Quants, Former Physicists and Mathematicians. 1st ed. 2019.
・ISBN 978-3-030-10655-3 paper EUR 64.99
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| 著者・編者 | Antonov, Alexandre / Konikov, Michael / Spector, Michael, |
|---|---|
| シリーズ | SpringerBriefs in Quantitative Finance |
| 出版社 | (Springer Nature Switzerland AG, SZ) |
| 出版年月 | 2019 |
| ページ数 | 127 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-5689＞ |
解説
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.