SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Hardcover)

Christian Crispoldi, Gérald Wigger, Peter Larkin

  • 出版商: Palgrave MacMillan
  • 出版日期: 2015-09-29
  • 售價: $3,690
  • 貴賓價: 9.5$3,506
  • 語言: 英文
  • 頁數: 216
  • 裝訂: Hardcover
  • ISBN: 1137378638
  • ISBN-13: 9781137378637
  • 相關分類: Python
  • 下單後立即進貨 (約1週~2週)



Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers 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 complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives.

SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. 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. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.


「SABR和SABR Libor市場模型實踐」是一本易於理解的現代利率建模指南。與其涵蓋很少在實踐中使用的一系列模型,該書專注於SABR模型,這是香草產品的市場標準,以及LIBOR市場模型,這是異國產品最常用的模型,以及擴展的SABR LIBOR市場模型。該書採用實踐方法,簡單地演示如何在市場環境中實施和使用這些模型。它彌補了從概念和數學角度理解模型與實際實施之間的差距,通過提供用Python編寫的建模特定的實際代碼示例來補充利率理論。利率交易員、交易員和風險經理對這些模型的了解至關重要,同時也需要了解它們的缺陷和替代方案。