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

Modern SABR Analytics Formulas and Insights for Quants, Former Physicists and Mathematicians / by Alexandre Antonov, Michael Konikov, Michael Spector.

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...

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Bibliographic Details
Main Authors: Antonov, Alexandre (Author), Konikov, Michael (Author), Spector, Michael (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
Edition:1st ed. 2019.
Series:SpringerBriefs in Quantitative Finance,
Springer eBook Collection.
Subjects:
Economics, Mathematical .
Probabilities.
Game theory.
Electronic resources (E-books)
Online Access:Click to view e-book
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Call Number: E-Book
Status: Available

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