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Modern SABR Analytics
- Formulas and Insights for Quants, Former Physicists and Mathematicians
part of the SpringerBriefs in Quantitative Finance series
- Binding:
- Paperback
- Pages:
- 127
- Published:
- May 1, 2019
- Edition:
- 12019
- Dimensions:
- 155x235x0 mm.
- Weight:
- 454 g.
Delivery:
2-4 weeks
Expected delivery: January 26, 2025
Description of Modern SABR Analytics
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.
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