Ebook: SABR and SABR LIBOR market models in practice : with examples Implemented in Python
Author: Crispoldi Christian, Larkin Peter, Wigger Gérald
- Tags: Interest rate futures -- Mathematical models, Interest rates -- Mathematical models, BUSINESS & ECONOMICS -- Finance
- Series: Applied quantitative finance.
- Year: 2015
- Publisher: Palgrave Macmillan
- Language: English
- pdf
"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 and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating Read more...