||0 of 0 people found the following review helpful.| Useful technical tips and details|By js|A hands on book where the code and the technical tips can help speed up a lot the understanding of the model(s) treated. Both if you are still studying or just started on the desk.|0 of 0 people found the following review helpful.| Two Stars|By Stephan Chang|The code is not so clear.|0|About the Author|Christian Crispoldi is a Vice President at Nomura Holding America Inc., in New York where he is responsible for the valuation and pricing of interest rate derivatives. Previously he worked as a financial engineer in various banks across Europe.
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) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing ...
[PDF.uw12] SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance) Rating: 3.77 (615 Votes)
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You can specify the type of files you want, for your device.SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python (Applied Quantitative Finance) | Christian Crispoldi, Gérald Wigger, Peter Larkin. I really enjoyed this book and have already told so many people about it!
