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SABR and SABR LIBOR Market Models in Practice

- With Examples Implemented in Python

Bag om SABR and SABR LIBOR Market Models in Practice

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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781137378637
  • Indbinding:
  • Hardback
  • Sideantal:
  • 216
  • Udgivet:
  • 29. september 2015
  • Udgave:
  • 12015
  • Størrelse:
  • 167x241x23 mm.
  • Vægt:
  • 522 g.
  • BLACK NOVEMBER
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Leveringstid: 8-11 hverdage
Forventet levering: 21. november 2024

Beskrivelse af SABR and SABR LIBOR Market Models in Practice

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.

Brugerbedømmelser af SABR and SABR LIBOR Market Models in Practice



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