Modern SABR analytics : formulas and insights for quants, former physicists and mathematicians /: formulas and insights for quants, former physicists and mathematicians. ([2019])

• Record Type: Book
• Further Information: Note: Alexandre Antonov, Michael Konikov, Michael Spector.
• Authors: Antonov, Alexandre; Konikov, Michael; Spector, Michael
• Contents: 1 Introduction.- 1.1 Introduction.- 1.2 Wide popularity of the SABR.- 1.3 Simple derivation.- 1.4 Modifications and extensions of the SABR.- 1.5 CMS and the SABR.- 1.6 Approximation accuracy and its improvements.- 1.7 About this book.- 2 Exact Solutions to CEV Model with Stochastic Volatility.- 2.1 Introduction.- 2.2 Transforming CEV Process into the Bessel One.- 2.3 Solution behavior near singular point x = 0, integrability, flux.- 2.4 Laplace Transform.- 2.5 Probability distributions.- 2.6 Back to CEV model.- 2.6.1 Option pricing through Chi Square distributions.- 2.7 Alternative expressions for CEV option values.- 2.8 CEV Model with Stochastic Volatility.- 2.9 Conclusion.- 3 Classic SABR Model: Exactly Solvable Cases.- 3.1 Introduction.- 3.2 Probability Density Functions for the Free Normal and Log-Normal SABR, Probabilistic Approach.- 3.3 Deriving PDFs using Kolmogorov equations.- 3.4 Option Value for the Free Normal SABR.- 3.5 Option Value for the Lognormal SABR.- 3.6 The Zero Correlation case.- 4 Classic SABR Model: Heat Kernel Expansion and Projection on Solvable Models.- 4.1 Introduction.- 4.2 Invariant forms of Diffusion Equations.- 4.3 Heat Kernel Expansion.- 4.4 Non-Zero Correlation General Case.- 4.5 Conclusion.- References.
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2019
• Extent: 1 online resource (132 pages)
• Subjects: 332.0151; Finance -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 9783030106560
• Related ISBNs: 303010656X; 3030106551; 9783030106553
• Notes: Note: Includes bibliographical references.; Note: Description based on online resource; title from digital title page (viewed on May 23, 2019).
• 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.