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

Christian Crispoldi, Gérald Wigger, Peter Larkin




[PDF.wd97] SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)

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 | #1530898 in eBooks |  2016-04-29 |  2015-08-26 | File type: PDF

||0 of 0 people found the following review helpful.| Useful technical tips and details|By js|A hands on book where the code and the technical tips can help speed up a lot the understanding of the model(s) treated. Both if you are still studying or just started on the desk.|0 of 0 people found the following review helpful.| Two Stars|By Stephan Chang|The code is not so clear.|0 o|About the Author|Christian Crispoldi is a Vice President at Nomura Holding America Inc., in New York where he is responsible for the valuation and pricing of interest rate derivatives. Previously he worked as a financial engineer in various banks across Europe.


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 à 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 o...

You easily download any file type for your gadget.SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance)   |  Christian Crispoldi, Gérald Wigger, Peter Larkin. I have read it a couple of times and even shared with my family members. Really good. Couldnt put it down.

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