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SABR and SABR LIBOR Market Models in Practice : With Examples Implemented in Python (Hardcover)

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Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives.SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.
Interest Rate vanilla traders have been using the SABR model for more than a decade. The SABR model is commonly used for vanilla products where the LMM model is commonly used for exotic products; however, this system often causes inconsistencies which can be overcome with a joint SABR LIBOR Market Model. Knowledge of these models is essential to all aspiring interest rate quants and traders, as well an understanding of their failings and alternatives.

This book is an accessible guide to interest rate modelling. Rather than covering an array of models which are not very often used in practice, it focuses on the SABR model, the market standard for vanilla products. It also covers the LIBOR Market Model, the most commonly used model for exotic products, as well as examining the extended SABR LIBOR Market Model. This book takes a hands-on approach, demonstrating simply how to implement and work with the models in practice. It provides a comprehensive guide to how interest rate modelling is done in practice on the trading floor.
Number of Pages: 216
Genre: Business + Money Management
Sub-Genre: Banks + Banking, Finance, Econometrics
Series Title: Applied Quantitative Finance
Format: Hardcover
Publisher: Palgrave Macmillan
Author: Christian Crispoldi & Gerald Wigger & Peter Larkin
Language: English
Street Date: September 29, 2015
TCIN: 46769554
UPC: 9781137378637
Item Number (DPCI): 247-51-8733
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