Name: SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (en Inglés)
Price: 166330.00 CLP
Availability: InStock
Author: Crispoldi, Christian ; Wigger, Gérald ; Larkin, Peter
ISBN: 9781137378637

portada SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (en Inglés)

Formato

Libro Físico

Autor

Editorial

Idioma

Inglés

N° páginas

216

Encuadernación

Tapa Dura

Dimensiones

23.6 x 15.5 x 2.0 cm

Peso

0.52 kg.

ISBN13

9781137378637

Categorías

Econometría
Banca

SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (en Inglés)

Peter Larkin (Autor) · Christian Crispoldi (Autor) · Gérald Wigger (Autor) · Palgrave MacMillan · Tapa Dura

Libro Físico

$ 166.330

$ 231.020

Ahorras: $ 64.690

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Envío normal

Origen: Estados Unidos (Costos de importación incluídos en el precio)

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Reseña del libro "SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (en Inglés)"

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 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.