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Modern SABR Analytics = Formulas and Insights for Quants, Former Physicists and Mathematicians /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Modern SABR Analytics / by Alexandre Antonov, Michael Konikov, Michael Spector.
其他題名:	Formulas and Insights for Quants, Former Physicists and Mathematicians /
作者:	Antonov, Alexandre.
其他作者:	Konikov, Michael.
面頁冊數:	IX, 127 p. 15 illus., 14 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Economics, Mathematical . -
電子資源:	https://doi.org/10.1007/978-3-030-10656-0
ISBN:	9783030106560

Modern SABR Analytics = Formulas and Insights for Quants, Former Physicists and Mathematicians /
Antonov, Alexandre.

Modern SABR Analytics Formulas and Insights for Quants, Former Physicists and Mathematicians /[electronic resource] :by Alexandre Antonov, Michael Konikov, Michael Spector. - 1st ed. 2019. - IX, 127 p. 15 illus., 14 illus. in color.online resource. - SpringerBriefs in Quantitative Finance,2192-7006. - SpringerBriefs in Quantitative Finance,.

1 Introduction -- 1.1 Introduction -- 1.2 Wide popularity of the SABR -- 1.3 Simple derivation -- 1.4 Modifications and extensions of the SABR -- 1.5 CMS and the SABR -- 1.6 Approximation accuracy and its improvements -- 1.7 About this book -- 2 Exact Solutions to CEV Model with Stochastic Volatility -- 2.1 Introduction -- 2.2 Transforming CEV Process into the Bessel One -- 2.3 Solution behavior near singular point x = 0, integrability, flux -- 2.4 Laplace Transform -- 2.5 Probability distributions -- 2.6 Back to CEV model -- 2.6.1 Option pricing through Chi Square distributions -- 2.7 Alternative expressions for CEV option values -- 2.8 CEV Model with Stochastic Volatility -- 2.9 Conclusion -- 3 Classic SABR Model: Exactly Solvable Cases -- 3.1 Introduction -- 3.2 Probability Density Functions for the Free Normal and Log-Normal SABR, Probabilistic Approach -- 3.3 Deriving PDFs using Kolmogorov equations -- 3.4 Option Value for the Free Normal SABR -- 3.5 Option Value for the Lognormal SABR -- 3.6 The Zero Correlation case -- 4 Classic SABR Model: Heat Kernel Expansion and Projection on Solvable Models -- 4.1 Introduction -- 4.2 Invariant forms of Diffusion Equations -- 4.3 Heat Kernel Expansion -- 4.4 Non-Zero Correlation General Case -- 4.5 Conclusion -- References.

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.

ISBN: 9783030106560

Standard No.: 10.1007/978-3-030-10656-0doiSubjects--Topical Terms:

1253712
Economics, Mathematical .

LC Class. No.: HB135-147

Dewey Class. No.: 519

Modern SABR Analytics = Formulas and Insights for Quants, Former Physicists and Mathematicians /
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