國立虎尾科技大學 |

SABR and SABR LIBOR Market Models in Practice = With Examples Implemented in Python /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	SABR and SABR LIBOR Market Models in Practice/ by Christian Crispoldi, Gérald Wigger, Peter Larkin.
其他題名:	With Examples Implemented in Python /
作者:	Crispoldi, Christian.
其他作者:	Wigger, Gérald.
面頁冊數:	XXI, 216 p.online resource. :
Contained By:	Springer Nature eBook
標題:	Econometrics. -
電子資源:	https://doi.org/10.1057/9781137378644
ISBN:	9781137378644

SABR and SABR LIBOR Market Models in Practice = With Examples Implemented in Python /
Crispoldi, Christian.

SABR and SABR LIBOR Market Models in PracticeWith Examples Implemented in Python /[electronic resource] :by Christian Crispoldi, Gérald Wigger, Peter Larkin. - 1st ed. 2015. - XXI, 216 p.online resource. - Applied Quantitative Finance. - Applied Quantitative Finance.

Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. 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. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python. .

ISBN: 9781137378644

Standard No.: 10.1057/9781137378644doiSubjects--Topical Terms:

556981
Econometrics.

LC Class. No.: HB139-141

Dewey Class. No.: 330.015195

SABR and SABR LIBOR Market Models in Practice = With Examples Implemented in Python /
LDR:02823nam a22003975i 4500 001 964101
003 DE-He213
005 20200919065807.0
007 cr nn 008mamaa
008 201211s2015 xxk| s |||| 0|eng d
020 $a 9781137378644 $9 978-1-137-37864-4
024 7 $a 10.1057/9781137378644 $2 doi
035 $a 978-1-137-37864-4
050 4 $a HB139-141
072 7 $a KCH $2 bicssc
072 7 $a BUS021000 $2 bisacsh
072 7 $a KCH $2 thema
082 0 4 $a 330.015195 $2 23
100 1 $a Crispoldi, Christian. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1259285
245 1 0 $a SABR and SABR LIBOR Market Models in Practice $h [electronic resource] : $b With Examples Implemented in Python / $c by Christian Crispoldi, Gérald Wigger, Peter Larkin.
250 $a 1st ed. 2015.
264 1 $a London : $b Palgrave Macmillan UK : $b Imprint: Palgrave Macmillan, $c 2015.
300 $a XXI, 216 p. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a Applied Quantitative Finance
520 $a Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. 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. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python. .
650 0 $a Econometrics. $3 556981
650 0 $a Banks and banking. $3 556379
650 0 $a Finance. $3 559073
650 2 4 $a Banking. $2 bicssc $3 810653
650 2 4 $a Finance, general. $3 1069041
650 2 4 $a Science, Humanities and Social Sciences, multidisciplinary. $3 1114153
700 1 $a Wigger, Gérald. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1259286
700 1 $a Larkin, Peter. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1259287
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9781137378637
776 0 8 $i Printed edition: $z 9781349571772
776 0 8 $i Printed edition: $z 9781349571765
830 0 $a Applied Quantitative Finance $3 1259288
856 4 0 $u https://doi.org/10.1057/9781137378644
912 $a ZDB-2-PEF
912 $a ZDB-2-SXEF
950 $a Palgrave Economics & Finance Collection (SpringerNature-41136)
950 $a Economics and Finance (R0) (SpringerNature-43720)