| 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 |  | | 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 | | doi | https://doi.org/10.1007/978-3-030-10656-0 | | isbn_softcover | 978-3-030-10655-3 | | isbn_ebook | 978-3-030-10656-0Series ISSN 2192-7006 Series E-ISSN 2192-7014 | | issn_series | 2192-7006 | | copyright | The Author(s), under exclusive licence to Springer Nature Switzerland AG 2019 |
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发表于 2025-3-21 16:18:31
