SABR and SABR LIBOR Market Models in Practice With Examples Implemen
Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM
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Applied Quantitative Finance series Applied Quantitative Finance is a new series developed to bring readers the very latest market tested tools, techniques and developments in quantitative finance. Written for practitioners who need to understand how things work ‘on the floor’, the series will deliver the most cutting-edge applications in areas such as asset pricing, risk management and financial derivatives. Although written with practitioners in mind, this series will also appeal to researchers and students who want to see how quantitative finance is applied in practice. Also available Marc Henrard interest rate modelling in the multi-curve framework Foundations, Evolution and Implementation Chris Kenyon, Roland Stamm discounting, libor, cva and funding Interest Rate and Credit Pricing Leo Krippner zero lower bound term structure modelling A Practitioner’s Guide Adil Reghai quantitative finance Back to Basic Principles Ignacio Ruiz xva desks: a new era for risk management Understanding, Building and Managing Counterparty and Funding Risk
SABR and SABR LIBOR Market Models in Practice With Examples Implemented in Python
Christian Crispoldi Gérald Wigger Peter Larkin
© Christian Crispoldi, Gérald Wigger and Peter Larkin 2015 All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The authors have asserted their rights to be identified as the authors of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2015 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries ISBN 978-1-349-57177-2
ISBN 978-1-137-37864-4 (eBook)
DOI 10.1057/9781137378644
This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. A catalog record for this book is available from the Library of Congress.
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