<電子ブック>
Modern SABR Analytics : Formulas and Insights for Quants, Former Physicists and Mathematicians / by Alexandre Antonov, Michael Konikov, Michael Spector
(SpringerBriefs in Quantitative Finance. ISSN:21927014)
版 | 1st ed. 2019. |
---|---|
出版者 | (Cham : Springer International Publishing : Imprint: Springer) |
出版年 | 2019 |
本文言語 | 英語 |
大きさ | IX, 127 p. 15 illus., 14 illus. in color : online resource |
著者標目 | *Antonov, Alexandre author Konikov, Michael author Spector, Michael author SpringerLink (Online service) |
件 名 | LCSH:Social sciences -- Mathematics
全ての件名で検索
LCSH:Probabilities LCSH:Game theory FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Game Theory |
一般注記 | 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 OptionValue 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 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 model with additional degrees of freedom, allowing simultaneous model calibration to swaptions and CMSs. Since the SABR model is used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia. Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance HTTP:URL=https://doi.org/10.1007/978-3-030-10656-0 |
目次/あらすじ
所蔵情報を非表示
電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
電子ブック | オンライン | 電子ブック |
|
Springer eBooks | 9783030106560 |
|
電子リソース |
|
EB00228827 |
類似資料
この資料の利用統計
このページへのアクセス回数:1回
※2017年9月4日以降