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Opis

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.

Szczegóły książki

Kategoria Książki po angielsku Economics, finance, business & management

• Pełny tytuł: SABR and SABR LIBOR Market Models in Practice
• Podtytuł: With Examples Implemented in Python
• Autor: Christian Crispoldi, Gerald Wigger, Peter Larkin
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 216
• EAN: 9781137378637
• ISBN: 1137378638
• ID: 09237955
• Wydawca: PALGRAVE MACMILLAN
• Waga: 522 g
• Wymiary: 167 × 241 × 23 mm
• Data wydania: 28. September 2015

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