Gérald Wigger – författare

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2 produkter

1. 

   SABR and SABR LIBOR Market Models in Practice

   With Examples Implemented in Python

   Av Christian Crispoldi, Gérald Wigger m. fl.

   Inbunden, 2015

   984 kr

   Lägg i varukorg

   Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more …

2. 

   SABR and SABR LIBOR Market Models in Practice

   With Examples Implemented in Python

   Av Peter Larkin, Gerald Wigger m. fl.

   E-bok, 2016

   1387 kr

   Lägg i varukorg

   Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more …