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Sabr And Sabr Libor Market Models In Practice With Examples Implemented In Python Crispoldi

SKU: BELL-5856630

$ 31.00 ~~$ 45.00~~ (-31%)

4.4

22 reviews

Sabr And Sabr Libor Market Models In Practice With Examples Implemented In Python Crispoldi instant download after payment.

Publisher: Palgrave Macmillan

File Extension: PDF

File size: 1.81 MB

Pages: 238

Author: Crispoldi, Christian; Larkin, Peter; Wigger, Gérald

ISBN: 9781137378644, 1137378646

Language: English

Year: 2015

Product desciption

Sabr And Sabr Libor Market Models In Practice With Examples Implemented In Python Crispoldi by Crispoldi, Christian; Larkin, Peter; Wigger, Gérald 9781137378644, 1137378646 instant download after payment.

"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."--