Overview
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.
This book title, SABR and SABR LIBOR Market Models in Practice (With Examples Implemented in Python), ISBN: 9781137378637, by Christian Crispoldi, Gérald Wigger, Peter Larkin, published by Palgrave Macmillan (October 28, 2015) is available in hardcover. Our minimum order quantity is 25 copies. All standard bulk book orders ship FREE in the continental USA and delivered in 4-10 business days.
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