Modern SABR Analytics is popular PDF and ePub book, written by Alexandre Antonov in 2019-04-23, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Modern SABR Analytics can be Read Online from any device for your convenience.
Modern SABR Analytics Book PDF Summary
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.
Detail Book of Modern SABR Analytics PDF
- Author : Alexandre Antonov
- Release : 23 April 2019
- Publisher : Springer
- ISBN : 9783030106560
- Genre : Mathematics
- Total Page : 127 pages
- Language : English
- PDF File Size : 18,5 Mb
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