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Modern SABR Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians

By Alexandre Antonov, Michael Konikov, Michael Spector
eBook
$69.99
By Alexandre Antonov, Michael Konikov, Michael Spector
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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 a...

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Science & TechnologyMathematicsMathematics - Applied