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Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians

  • Alexandre Antonov
  • Michael Konikov
  • Michael Spector
Book

Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Alexandre Antonov, Michael Konikov, Michael Spector
    Pages 1-15
  3. Alexandre Antonov, Michael Konikov, Michael Spector
    Pages 17-39
  4. Alexandre Antonov, Michael Konikov, Michael Spector
    Pages 41-86
  5. Alexandre Antonov, Michael Konikov, Michael Spector
    Pages 87-99
  6. Alexandre Antonov, Michael Konikov, Michael Spector
    Pages 101-121
  7. Alexandre Antonov, Michael Konikov, Michael Spector
    Pages 123-124
  8. Back Matter
    Pages 125-127

About this book

Introduction

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 used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia.

Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance.

Keywords

SABR Options Skew Interest Rates Stochastic Volatility Bessel Process Smile

Authors and affiliations

  • Alexandre Antonov
    • 1
  • Michael Konikov
    • 2
  • Michael Spector
    • 3
  1. 1.Standard Chartered BankLondonUK
  2. 2.Numerix LLCNew YorkUSA
  3. 3.Numerix LLCNew YorkUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-030-10656-0
  • Copyright Information The Author(s), under exclusive licence to Springer Nature Switzerland AG 2019
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-030-10655-3
  • Online ISBN 978-3-030-10656-0
  • Series Print ISSN 2192-7006
  • Series Online ISSN 2192-7014
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking