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SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)
SABR and SABR LIBOR Market Models in Practice With Examples Implemented in Python - Applied Quantitative Finance
Author: Christian Crispoldi, Gérald Wigger, Peter Larkin
Interest Rate vanilla traders have been using the SABR model for more than a decade. The SABR model is commonly used for vanilla products where the LMM model is commonly used for exotic products; however, this system often causes inconsistencies which can be overcome with a joint SABR LIBOR Market Model. Knowledge of these models is essential to...  more »
ISBN-13: 9781137378637
ISBN-10: 1137378638
Publication Date: 9/16/2015
Pages: 250
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Publisher: Palgrave Macmillan
Book Type: Hardcover
Members Wishing: 0
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