| 书目名称 | SABR and SABR LIBOR Market Models in Practice |
| 副标题 | With Examples Implem |
| 编辑 | Christian Crispoldi,Gérald Wigger,Peter Larkin |
| 视频video | |
| 丛书名称 | Applied Quantitative Finance |
| 图书封面 |  |
| 描述 | .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 andthe 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 |
| 出版日期 | Book 2015 |
| 关键词 | derivatives; evolution; Monte Carlo Simulation; Simulation; volatility; banking |
| 版次 | 1 |
| doi | https://doi.org/10.1057/9781137378644 |
| isbn_ebook | 978-1-137-37864-4Series ISSN 2947-700X Series E-ISSN 2947-7018 |
| issn_series | 2947-700X |
| copyright | The Editor(s) (if applicable) and The Author(s) 2015 |
发表于 2025-3-21 18:30:21
