Download SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)

Description SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)

Interest Rate vanilla traders have been using the SABR model for almost a decade. The SABR model is commonly used for vanilla products where the LMM model is commonly used for exotic products; however, this system often causes inconsistencies. Knowledge of the models is essential to all aspiring interest rate quants and traders, as well an understanding of their failings and alternatives. This book is an accessible guide to interest rate modelling. Rather than covering an array of models which are not very often used in practice, it focuses on the SABR model, the market standard for vanilla products. It also covers the LIBOR market mode, the most commonly used model for exotic products, as well as providing an explanation of the extended SABR LIBOR market model. This book takes a hands-on approach, demonstrating simply how to implement and work with the models in practice. It provides a comprehensive guide to how interest rate modelling is done in practice on the trading floor.

SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance) PDF ePub

SABR and SABR LIBOR Market Models in Practice ~ 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.

SABR and SABR LIBOR Market Models in Practice: With ~ 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.

SABR and SABR LIBOR Market Models in Practice - With ~ 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.

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SABR and SABR LIBOR market models in practice : with ~ Get this from a library! SABR and SABR LIBOR market models in practice : with examples implemented in Python. [Christian Crispoldi; Gérald Wigger; Peter Larkin] -- A hands-on guide to interest rate modelling, including the SABR model, the market standard for vanilla products, and the LIBOR market model, the most commonly used model for exotic products.

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SABR and SABR LIBOR Market Models in Practice : Christian ~ 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.

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