SABR and SABR LIBOR Market Models in Practice With Examples Implemented in Python |
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| Author:
| Crispoldi, Christian
Wigger, Gérald
Larkin, Peter |
| Series title: | Applied Quantitative Finance Ser. |
| ISBN: | 978-1-137-37863-7 |
| Publication Date: | Sep 2015 |
| Publisher: | Palgrave Macmillan Limited
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| Imprint: | Palgrave Macmillan |
| Book Format: | Hardback |
| List Price: | USD $99.99 |
Book Description:
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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. This accessible book also provides an explanation of the extended SABR LIBOR market model.
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. This accessible book also provides an explanation of the extended SABR LIBOR market model.