CSDL sách
- SABR and SABR LIBOR market models in practice : with examples implemented in Python
- Tác giả: Christian Crispoldi, Gérald Wigger, Peter Larkin
- Nhà xuất bản: Palgrave Macmillan - New York
- Năm xuất bản: 2015
- Số trang:216 p.
- Kích thước:23 cm.
- Số đăng ký cá biệt:43456
- ISBN:9781137378637
- Mã Dewey:332.6323
- Đơn giá:0
- Vị trí lưu trữ:03 Quang Trung
- Ngôn ngữ:English
- Loại tài liệu:Sách Chuyên ngành
- Đang rỗi/ Tổng sách:1/1
- Từ khóa:Market models, SABR, SABR LIBOR, Python
- Chủ đề: Interest rates--United States
- Chuyên ngành: Khoa Công Nghệ Thông Tin
- Tóm tắt: 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.
- Sách điện tử:http://thuvienso.duytan.edu.vn/handle/123456789/297681
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