SABR and SABR LIBOR Market Models in Practice: With Examples

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

Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model Ã la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives.

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. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python. Â Â

Country	USA
Binding	Kindle Edition
Edition	1st ed. 2015
EISBN	9781137378644
Format	Kindle eBook
Label	Palgrave Macmillan
Manufacturer	Palgrave Macmillan
NumberOfPages	216
PublicationDate	2016-04-29
Publisher	Palgrave Macmillan
ReleaseDate	2015-08-26
Studio	Palgrave Macmillan

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

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