Crispoldi, Christian
SABR and SABR LIBOR Market Models in Practice
Table of contents
1. Introduction
Christian Crispoldi, Gérald Wigger, Peter Larkin
2. Interest Rate Derivatives Markets
Christian Crispoldi, Gérald Wigger, Peter Larkin
3. Interest Rate Notions
Christian Crispoldi, Gérald Wigger, Peter Larkin
4. Vanilla Models
Christian Crispoldi, Gérald Wigger, Peter Larkin
5. SABR Model
Christian Crispoldi, Gérald Wigger, Peter Larkin
6. LIBOR Market Model
Christian Crispoldi, Gérald Wigger, Peter Larkin
7. SABR LIBOR Market Model
Christian Crispoldi, Gérald Wigger, Peter Larkin
Keywords: Economics, Econometrics, Banking, Finance, general, Science, general
- Author(s)
- Crispoldi, Christian
- Larkin, Peter
- Wigger, Gérald
- Publisher
- Springer
- Publication year
- 2015
- Language
- en
- Edition
- 1
- Series
- Applied Quantitative Finance series
- Page amount
- 237 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9781137378644
- Printed ISBN
- 978-1-349-57177-2
