Christian Crispoldi: 1 book
SABR and SABR LIBOR Market Models in Practice
With Examples Implemented in Python
Language: English
Release Date: April 29, 2016
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...
