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Full Description
Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products andthe extended SABR LIBOR Market Model.
Contents
1. Introduction 1.1. Who Should Read This Book 1.2. Outline 1.3. Python, NumPy and SciPy 2. Interest Rate Derivatives Markets 2.1. Interest Rates 2.2. What You Need for Trading: ISDAs, Netting Agreement and CSAs 2.3. The Evolution of Complex Derivatives Trading 2.4. The Effects of the Financial Credit Crisis 3. Interest Rate Notions 3.1. Interest Rate Basics 3.2. The Multiple Curve Framework 3.3. Interest Rate Valuations and Measures 3.4. Volatility Trading 4. Vanilla Models 4.1. Lognormal Black Model 4.2. Normal Model 4.3. Risk Sensitivities 5. SABR Model 5.1. Introduction 5.2. SABR Parameters 5.3. PDE and Kolmogorov Equations 5.4. Hagan et al. Approximations 5.5. SABR Calibration in Practice 5.6. Risk Sensitivities 5.7. Monte Carlo Simulation Schemes for SABR 5.8. The Limits of Hagan et al. Approximations 5.9. Alternative SABR Approximations 5.10. Pricing in a Negative Forward Rate Regime: Shifted SABR Approximation 6. LIBOR Market Model 6.1. Introduction 6.2. Dynamics of the LIBOR Market Model 6.3. The Forward-Forward Correlation and Its Calibration Nelson Siegel Approach 6.4. Volatility Parametrization and Calibration 6.5. Simulation 6.6. Risk Sensitivities 7. SABR LIBOR Market Model 7.1. Introduction 7.2. Dynamics of the SABR LIBOR Market Model 7.3. The Correlation Matrix and Its Calibration 7.4. Rebonato et al. SABR LMM Parametrization 7.5. Simulation and Pricing A. Appendices A.1. Time Grid and Day Count Conventions A.2. A Note On Hyperbolic Geometry A.3. LIBOR Market Model in the HJM Framework A.4. Swap Market Model
