SABR and SABR LIBOR market models in practice : with examples implemented in Python /: with examples implemented in Python. (2015)

• Record Type: Book
• Further Information: Note: Christian Crispoldi, Gérald Wigger, Peter Larkin.
• Authors: Crispoldi, Christian; Wigger, Gérald; Larkin, Peter, 1946-
• Contents: 1. Introduction; 1.1. Who Should Read This Book; 1.2. Outline; 1.3. Python, NumPy and SciPy; ; 2. Interest Rate Derivatives Markets; 2.1. Interest Rates; 2.2. What You Need for Trading: ISDAs, Netting Agreement and CSAs; 2.3. The Evolution of Complex Derivatives Trading; 2.4. The Effects of the Financial Credit Crisis; ; 3. Interest Rate Notions; 3.1. Interest Rate Basics; 3.2. The Multiple Curve Framework; 3.3. Interest Rate Valuations and Measures; 3.4. Volatility Trading; 3.4.2. Swaptions; ; 4. Vanilla Models; 4.1. Lognormal Black Model; 4.2. Normal Model; 4.3. Risk Sensitivities; 5. SABR Model; 5.1. Introduction; 5.2. SABR Parameters; 5.3. PDE and Kolmogorov Equations; 5.4. Hagan et al. Approximations; 5.5. SABR Calibration in Practice; 5.6. Risk Sensitivities; 5.7. Monte Carlo Simulation Schemes for SABR; 5.8. The Limits of Hagan et al. Approximations; 5.9. Alternative SABR Approximations; 5.10. Pricing in a Negative Forward Rate Regime: Shifted SABR Approximation; ; 6. LIBOR Market Model; 6.1. Introduction; 6.1.1. Short Rate Models; 6.2. Dynamics of the LIBOR Market Model; 6.3. The Forward-Forward Correlation and Its Calibration; Nelson Siegel Approach; 6.4. Volatility Parametrization and Calibration; 6.5. Simulation; 6.6. Risk Sensitivities; ; 7. SABR LIBOR Market Model; 7.1. Introduction; 7.2. Dynamics of the SABR LIBOR Market Model; 7.3. The Correlation Matrix and Its Calibration; 7.4. Rebonato et al. SABR LMM Parametrization; 7.5. Simulation and Pricing; ; A. Appendices; A.1. Time Grid and Day Count Conventions; A.2. A Note On Hyperbolic Geometry; A.3. LIBOR Market Model in the HJM Framework; A.4. Swap Market Model;
• Publisher Details: Basingstoke : Palgrave Macmillan
• Publication Date: 2015
• Extent: 1 online resource, illustrations
• Subjects: 332.6/323; Banks & Banking; Interest rate futures -- Mathematical models; Interest rates -- Mathematical models; Interest rate futures -- Mathematical models; Interest rates -- Mathematical models; LIBOR Market Modell; Stochastische Volatilität; Derivat; Zins; Optionspreistheorie; Econometrics; Economics, finance, business & management
• Languages: English
• ISBNs: 9781137378651; 1137378654
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.