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Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians
Paperback
Series: Springerbriefs in Quantitative Finance
General MathematicsProbability & Statistics
ISBN13: 9783030106553
Publisher: Springer Nature
Published: May 2 2019
Pages: 127
Weight: 0.45
Height: 0.30 Width: 6.14 Depth: 9.21
Language: English
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.
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