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Modern SABR Analytics

Formulas and Insights for Quants, Former Physicists and Mathematicians

  • Alexandre Antonov
  • Michael Konikov
  • Michael Spector

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


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
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