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  • Modern SABR Analytics

    Formulas and Insights for Quants, Former Physicists and Mathematicians

    by Alexandre Antonov, Michael Konikov, Michael Spector ...
    Series series Mathematics and Statistics (R0)
    Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with additional degrees of freedom, allowing simultaneous model calibration to swaptions and CMSs.Since the SABR model is ... Read more

    $71.99 USD