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Titlebook: Modern SABR Analytics; Formulas and Insight Alexandre Antonov,Michael Konikov,Michael Spector Book 2019 The Author(s), under exclusive lice

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发表于 2025-3-21 16:18:31 | 显示全部楼层 |阅读模式
书目名称Modern SABR Analytics
副标题Formulas and Insight
编辑Alexandre Antonov,Michael Konikov,Michael Spector
视频video
概述Unifies scattered modern SABR analytics in the same text.Intuitive but still rigorous explanation of complicated probabilistic concepts.Numerous numerical results for both analytics and simulations wh
丛书名称SpringerBriefs in Quantitative Finance
图书封面Titlebook: Modern SABR Analytics; Formulas and Insight Alexandre Antonov,Michael Konikov,Michael Spector Book 2019 The Author(s), under exclusive lice
描述.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..
出版日期Book 2019
关键词SABR; Options; Skew; Interest Rates; Stochastic Volatility; Bessel Process; Smile; quantitative finance
版次1
doihttps://doi.org/10.1007/978-3-030-10656-0
isbn_softcover978-3-030-10655-3
isbn_ebook978-3-030-10656-0Series ISSN 2192-7006 Series E-ISSN 2192-7014
issn_series 2192-7006
copyrightThe Author(s), under exclusive licence to Springer Nature Switzerland AG 2019
The information of publication is updating

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Book 2019 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..
发表于 2025-3-22 11:23:01 | 显示全部楼层
Alexandre Antonov,Michael Konikov,Michael SpectorUnifies scattered modern SABR analytics in the same text.Intuitive but still rigorous explanation of complicated probabilistic concepts.Numerous numerical results for both analytics and simulations wh
发表于 2025-3-22 16:40:45 | 显示全部楼层
发表于 2025-3-22 18:43:02 | 显示全部楼层
Modern SABR Analytics978-3-030-10656-0Series ISSN 2192-7006 Series E-ISSN 2192-7014
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SpringerBriefs in Quantitative Financehttp://image.papertrans.cn/m/image/637387.jpg
发表于 2025-3-23 02:22:07 | 显示全部楼层
https://doi.org/10.1007/978-3-030-10656-0SABR; Options; Skew; Interest Rates; Stochastic Volatility; Bessel Process; Smile; quantitative finance
发表于 2025-3-23 07:55:56 | 显示全部楼层
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