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

by Gérald Wigger, Peter Larkin, Christian Crispoldi

Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model 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...

• Format: Hardcover
• Language: English
• ISBN: 1137378638
• ISBN13: 9781137378637
• Release Date: September 2015
• Publisher: Palgrave MacMillan
• Length: 216 Pages
• Weight: 1.15 lbs.
• Dimensions: 0.8" x 6.1" x 9.3"