Modern SABR analytics [Documento eletrónico] : formulas and insights for quants, former physicists and mathematicians / Alexandre Antonov, Michael Konikov, Michael Spector
Language: eng.Country: Switzerland, Swiss Confederation, Cham.Publication: Cham : Springer International Publishing, 2019Description: IX, 127 p. : il.ISBN: 978-3-030-10656-0.Series: SpringerBriefs in Quantitative FinanceSubject - Topical Name: Social sciences -- Mathematics | Probabilities | Game theory Online Resources:Click here to access onlineItem type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | |
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E-Books | Biblioteca NOVA FCT Online | Não Ficção | H61.25.SPR FCT (Browse shelf(Opens below)) | 1 | Available | 96500 |
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.
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