Michael Spector – författare

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.

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.

This is an edited volume based on expanded versions of the best 30 papers presented at ETWC 2016 in Bali. Included are contributions from the keynote speakers of ETWC 2016: Robert Branch, Tian Belawati, Steve Harmon, Johannes Cronjé, Marc Childress, Mike Spector, Chairul Tanjung, and Rudiantara. The work is organized into the following sections: (a) Effective Technology Integration in Teaching and Learning, (b) Quality Design, Development and Implementation, (c) Innovation and Creativity in Distance Education, and (d) Open Access, Courses and Resources.

This is an edited volume based on expanded versions of the best 30 papers presented at ETWC 2016 in Bali. Included are contributions from the keynote speakers of ETWC 2016: Robert Branch, Tian Belawati, Steve Harmon, Johannes Cronjé, Marc Childress, Mike Spector, Chairul Tanjung, and Rudiantara. The work is organized into the following sections: (a) Effective Technology Integration in Teaching and Learning, (b) Quality Design, Development and Implementation, (c) Innovation and Creativity in Distance Education, and (d) Open Access, Courses and Resources.