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Modern SABR analytics: formulas and insights for quants, former physicists and mathematicians
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...
| Autores principales: | , , |
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| Lenguaje: | eng |
| Publicado: |
Springer
2019
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| Materias: | |
| Acceso en línea: | https://dx.doi.org/10.1007/978-3-030-10656-0 http://cds.cern.ch/record/2673420 |