About this book
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.
- 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