Modern SABR Analytics

<p></p><p>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.</p><p>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.<br></p>Aimed mainly at financial industry practitioners (for example quants and&nbsp;former physicists)&nbsp;this book will also be interesting to mathematicians who seek intuition in the mathematical finance.<p></p><p></p>