Perturbation methods in credit derivatives : strategies for efficient risk management

Perturbation methods in credit derivatives strategies for efficient risk management

"Perturbation methods are currently seeing a surge of popularity, with Pat Hagan and collaborators generalising and extending their SABR approach to European option pricing (See for example Wilmott magazine, Managing Vol Surfaces, P. Hagan et al, 23 January 2018) and their methods being extende...

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Detalles Bibliográficos
Otros Autores: Turfus, Colin, author (author)
Formato: Libro electrónico
Idioma:Inglés
Publicado: Chichester : Wiley 2021.
Colección:Wiley finance series.
Materias:
Credit derivatives.
Financial risk management.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009633552406719

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