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Sabr and Sabr Libor Market Models in Practice: With Examples Implemented in Python
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Book cover for 9781137378637
With Gerald Wigger, Christian Crispoldi | from Palgrave Macmillan (September 29, 2015)
9781137378637 | details & prices | 216 pages | 6.25 × 9.25 × 1.00 in. | 1.20 lbs | List price $95.00
About: Interest rate traders have been using the SABR model to price vanilla products for more than a decade.