Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians (Formulas and Insights for Quants, Former Physicists and Mathematicians)

Name: Modern Sabr Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians (Formulas and Insights for Quants, Former Physicists and Mathematicians)
Author: Antonov, Alexandre^Konikov, Michael
ISBN: 9783030106553

Autor: Antonov, Alexandre, Konikov, Michael
Editorial: Springer
Publicación: 20190527
ISBN: 9783030106553
Área de registro del ISBN: Área germanófona (ISBN 978-3)

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Descripción

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.