Bibliograph

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

Type

Label

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

Language

eng

Bibliography note

Includes bibliographical references (pages 210-213) and index

Illustrations

illustrations

Index

index present

Literary Form

non fiction

Main title

SABR and SABR LIBOR market models in practice

Nature of contents

bibliography

Oclc number

909320943

Responsibility statement

Christian Crispoldi, Gérald Wigger, Peter Larkin

Series statement

Applied quantitative finance series

Sub title

with examples implemented in Python

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.--, Provided by publisher

Contributor

Creator