Modern SABR Analytics
Formulas and Insights for Quants, Former Physicists and Mathematicians
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Beschreibung
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 of freedom, allowing simultaneous model calibration to swaptions and CMSs.
Since the SABR model is used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia.
Unifies scattered modern SABR analytics in the same text Intuitive but still rigorous explanation of complicated probabilistic concepts Numerous numerical results for both analytics and simulations which can serve as benchmarks
Autor*in
Alexandre Antonov
Themen in »Modern SABR Analytics«
SABR Options Skew Interest Rates Stochastic Volatility Bessel Process Smile quantitative finance