Konikov michael (8 Ergebnisse)

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Paperback. Zustand: Brand New. 140 pages. 9.25x6.10x0.71 inches. In Stock.

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.Aimed mainly at financial industry practitioners (for example quants andformer physicists)this book will also be interesting to mathematicians who seek intuition in the mathematical finance.…

Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Unifies scattered modern SABR analytics in the same textIntuitive but still rigorous explanation of complicated probabilistic concepts&nbsp&nbspNumerous numerical results for both analytics and simulations which can serve as benchmarks.…

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Zustand: New. PRINT ON DEMAND.