Modern sabr analytics: formulas and insights for quants, former physicists and mathematicians
Auteur :
Antonov, Alexandre / Konikov, Michael / Spector, Michael
Éditeur :
Springer Nature Switzerland AG
ISBN :
9783030106553
Date de publication :
2 mai 2019
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.