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SABR and SABR LIBOR market models in practice : with examples implemented in Python

Tác giả: Christian Crispoldi, Gérald Wigger, Peter Larkin

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...

Financial markets and institutions : 5th ed.

Tác giả: Anthony Saunders, Marcia Million Cornett

It offers a unique analysis of the risks faced by investors and savers interacting through financial institutions and financial markets, as well as strategies that can be adopted for controlling and managing risks. Special emphasis is put on new areas of operations in financial markets and...