SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python - Applied Quantitative Finance - Christian Crispoldi - Books - Palgrave Macmillan - 9781137378637 - September 29, 2015
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Christian Crispoldi
SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python - Applied Quantitative Finance 1st ed. 2015 edition

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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.

240 pages, 54 figures, 49 black & white tables

Media Books     Hardcover Book   (Book with hard spine and cover)
Released September 29, 2015
ISBN13 9781137378637
Publishers Palgrave Macmillan
Pages 216
Dimensions 241 × 167 × 23 mm   ·   521 g

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