All ebooks by Michael Spector in PDF and EPUB
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All ebooks by Michael Spector in PDF and EPUB


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Modern SABR Analytics


Alexandre Antonov , Michael Konikov , Michael Spector


Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar...

Publication date: 2019-04-23
Format: PDF, ePub
Publisher: Springer
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£59,99

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