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The Resource SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin

SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin

Label
SABR and SABR LIBOR market models in practice : with examples implemented in Python
Title
SABR and SABR LIBOR market models in practice
Title remainder
with examples implemented in Python
Statement of responsibility
Christian Crispoldi, Gérald Wigger, Peter Larkin
Creator
Contributor
Author
Subject
Language
eng
Summary
A hands-on guide to interest rate modelling, including the SABR model, the market standard for vanilla products, and the LIBOR market model, the most commonly used model for exotic products. This accessible book also provides an explanation of the extended SABR LIBOR market model.--
Member of
Assigning source
Provided by publisher
Cataloging source
BTCTA
http://library.link/vocab/creatorName
Crispoldi, Christian
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Wigger, Gérald
  • Larkin, Peter
Series statement
Applied quantitative finance series
http://library.link/vocab/subjectName
  • Interest rate futures
  • Interest rates
Label
SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 210-213) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17768263
Dimensions
25 cm.
Extent
xxi, 216 pages
Isbn
9781137378637
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)909320943
Label
SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin
Publication
Bibliography note
Includes bibliographical references (pages 210-213) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17768263
Dimensions
25 cm.
Extent
xxi, 216 pages
Isbn
9781137378637
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)909320943

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