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SABR and SABR LIBOR Market Models in Practice

- With Examples Implemented in Python

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.
  • 9. december 2024
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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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