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

Record Type:	Language materials, printed : Monograph/item
Title/Author:	SABR and SABR LIBOR Market Models in Practice/ by Christian Crispoldi, Gérald Wigger, Peter Larkin.
Reminder of title:	With Examples Implemented in Python /
Author:	Crispoldi, Christian.
other author:	Wigger, Gérald.
Description:	XXI, 216 p.online resource. :
Contained By:	Springer Nature eBook
Subject:	Econometrics. -
Online resource:	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 /
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