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  5. SABR and SABR LIBOR Market Models in Practice

SABR and SABR LIBOR Market Models in Practice - Peter Larkin - Bog

- With Examples Implemented in Python

af Peter Larkin, Christian Crispoldi, Gérald Wigger

indgår i Applied Quantitative Finance serien

SABR and SABR LIBOR Market Models in Practice af Peter Larkin
Bag om SABR and SABR LIBOR Market Models in Practice

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781137378637
  • Indbinding:
  • Hardback
  • Sideantal:
  • 216
  • Udgivet:
  • 29. september 2015
  • Udgave:
  • 12015
  • Størrelse:
  • 167x241x23 mm.
  • Vægt:
  • 522 g.
  • 8-11 hverdage.
  • 16. januar 2025
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Beskrivelse af SABR and SABR LIBOR Market Models in Practice

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.

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