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SABR and SABR LIBOR Market Models in Practice With Examples Implemented in Python - Applied Quantitative Finance
Publisher: Palgrave Macmillan
Author: Christian Crispoldi
$114.05
Publisher:
Palgrave MacmillanAuthor:
Christian Crispoldi
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. It also provides an explanation of the extended SABR LIBOR market model.
| ISBN: | 9781137378637 |
| Publisher: | Palgrave Macmillan UK |
| Imprint: | Palgrave Macmillan |
| Published date: | 29 Sep 2015 |
| DEWEY: | 332.6323 |
| DEWEY edition: | 23 |
| Language: | English |
| Number of pages: | xxi, 216 |
| Weight: | 522g |
| Height: | 167mm |
| Width: | 241mm |
| Spine width: | 23mm |
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