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
Resource Information
The item SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- 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.--
- Language
- eng
- Extent
- xxi, 216 pages
- Isbn
- 9781137378637
- 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
- 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.--
- 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
- 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
- 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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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/SABR-and-SABR-LIBOR-market-models-in-practice-/Q26XAtsXX_Y/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/SABR-and-SABR-LIBOR-market-models-in-practice-/Q26XAtsXX_Y/">SABR and SABR LIBOR market models in practice : with examples implemented in Python, Christian Crispoldi, Gérald Wigger, Peter Larkin</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
