LEADER 04397nam 22005535 450 001 9910338260303321 005 20220107205009.0 010 $a3-030-10656-X 024 7 $a10.1007/978-3-030-10656-0 035 $a(CKB)4100000007992529 035 $a(MiAaPQ)EBC5759519 035 $a(DE-He213)978-3-030-10656-0 035 $a(PPN)235669768 035 $a(EXLCZ)994100000007992529 100 $a20190423d2019 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aModern SABR analytics $eformulas and insights for quants, former physicists and mathematicians /$fby Alexandre Antonov, Michael Konikov, Michael Spector 205 $a1st ed. 2019. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2019. 215 $a1 online resource (132 pages) 225 1 $aSpringerBriefs in Quantitative Finance,$x2192-7006 311 $a3-030-10655-1 327 $a1 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 Option Value 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. 330 $aFocusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with additional degrees of freedom, allowing simultaneous model calibration to swaptions and CMSs. Since the SABR model is used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia. Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance. 410 0$aSpringerBriefs in Quantitative Finance,$x2192-7006 606 $aEconomics, Mathematical 606 $aProbabilities 606 $aGame theory 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aGame Theory, Economics, Social and Behav. Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13011 615 0$aEconomics, Mathematical. 615 0$aProbabilities. 615 0$aGame theory. 615 14$aQuantitative Finance. 615 24$aProbability Theory and Stochastic Processes. 615 24$aGame Theory, Economics, Social and Behav. Sciences. 676 $a332.6453 700 $aAntonov$b Alexandre$4aut$4http://id.loc.gov/vocabulary/relators/aut$0781388 702 $aKonikov$b Michael$4aut$4http://id.loc.gov/vocabulary/relators/aut 702 $aSpector$b Michael$4aut$4http://id.loc.gov/vocabulary/relators/aut 906 $aBOOK 912 $a9910338260303321 996 $aModern SABR Analytics$92507106 997 $aUNINA LEADER 01905nam 2200433z- 450 001 9910688575303321 005 20210211 010 $a1000072059 035 $a(CKB)4920000000100921 035 $a(oapen)https://directory.doabooks.org/handle/20.500.12854/41108 035 $a(oapen)doab41108 035 $a(EXLCZ)994920000000100921 100 $a20202102d2018 |y 0 101 0 $aeng 135 $aurmn|---annan 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 00$aAn Approach for Guiding Developers to Performance and Scalability Solutions 210 $cKIT Scientific Publishing$d2018 215 $a1 online resource (XV, 359 p. p.) 225 1 $aThe Karlsruhe Series on Software Design and Quality / Ed. by Prof. Dr. Ralf Reussner 311 08$a3-7315-0698-X 330 $aThe quality of enterprise software applications plays a crucial role for the satisfaction of the users and the economic success of the enterprises. Software applications with unsatisfying performance and scalability are perceived by its users as low in quality, as less interesting and less attractive, and cause frustration when preventing the users from attaining their goals. This book proposes an approach for a recommendation system that enables developers who are novices in software perform 610 $aBeratung 610 $aDecision Making Support 610 $aEmpfehlungssystem 610 $aEntscheidungsunterstu?tzung 610 $aGuidance 610 $aPerformance Problems 610 $aPerformance Solutions 610 $aPerformance-Lo?sungen 610 $aPerformance-Probleme 610 $aRecommendation System 700 $aHeger$b Christoph$4auth$01352786 906 $aBOOK 912 $a9910688575303321 996 $aAn Approach for Guiding Developers to Performance and Scalability Solutions$93201651 997 $aUNINA