SABR and SABR LIBOR Market Models in Practice With Examples Implemented in Python /
Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more compl...
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| Main Authors: | , , |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
London :
Palgrave Macmillan UK : Imprint: Palgrave Macmillan,
2015.
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| Edition: | 1st ed. 2015. |
| Series: | Applied Quantitative Finance
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| Subjects: | |
| Online Access: | https://doi.org/10.1057/9781137378644 |
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