SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python by Gérald Wigger, Peter Larkin, Christian Crispoldi

SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python

Applied Quantitative Finance

Gérald Wigger, Peter Larkin, Christian Crispoldi

216 pages • missing pub info (editions)

nonfiction business economics
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Description

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 la LIBOR Market Mo...

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