Modern SABR analytics : formulas and insights for quants, former physicists and mathematicians / Alexandre Antonov, Michael Konikov, Michael Spector.

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Modern SABR analytics : formulas and insights for quants, former physicists and mathematicians / Alexandre Antonov, Michael Konikov, Michael Spector.

9783030106560 (electronic book)
303010656X (electronic book)
3030106551
9783030106553

Cham, Switzerland : Springer, [2019]

English

1 online resource (132 pages).

HG106 .A58 2019

332.0151

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.

Includes bibliographical references.

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Description based on online resource; title from digital title page (viewed on May 23, 2019).

SpringerBriefs in quantitative finance.

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