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Author: Riccardo Rebonato Publisher: John Wiley & Sons ISBN: 1119995639 Category : Business & Economics Languages : en Pages : 308
Book Description
This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress
Author: Riccardo Rebonato Publisher: John Wiley & Sons ISBN: 1119995639 Category : Business & Economics Languages : en Pages : 308
Book Description
This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover the whole of the SABR smile surface using their extension of the LIBOR market model. This is not just a new model, this is a new way of option pricing that takes into account the need to calibrate as accurately as possible to the plain vanilla reference hedging instruments and the need to obtain prices and hedges in reasonable time whilst reproducing a realistic future evolution of the smile surface. It removes the hard choice between accuracy and time because the framework that the authors provide reproduces today's market prices of plain vanilla options almost exactly and simultaneously gives a reasonable future evolution for the smile surface. The authors take the SABR model as the starting point for their extension of the LMM because it is a good model for European options. The problem, however with SABR is that it treats each European option in isolation and the processes for the various underlyings (forward and swap rates) do not talk to each other so it isn't obvious how to relate these processes into the dynamics of the whole yield curve. With this new model, the authors bring the dynamics of the various forward rates and stochastic volatilities under a single umbrella. To ensure the absence of arbitrage they derive drift adjustments to be applied to both the forward rates and their volatilities. When this is completed, complex derivatives that depend on the joint realisation of all relevant forward rates can now be priced. Contents THE THEORETICAL SET-UP The Libor Market model The SABR Model The LMM-SABR Model IMPLEMENTATION AND CALIBRATION Calibrating the LMM-SABR model to Market Caplet prices Calibrating the LMM/SABR model to Market Swaption Prices Calibrating the Correlation Structure EMPIRICAL EVIDENCE The Empirical problem Estimating the volatility of the forward rates Estimating the correlation structure Estimating the volatility of the volatility HEDGING Hedging the Volatility Structure Hedging the Correlation Structure Hedging in conditions of market stress
Author: Society for American Baseball Research Publisher: Simon and Schuster ISBN: 1416554564 Category : Sports & Recreation Languages : en Pages : 499
Book Description
From the authority on baseball research and statistics comes a vast and fascinating compendium of unique baseball lists and records. The SABR Baseball List & Record Book is an expansive collection of pitching, hitting, fielding, home run, team, and rookie records not available online or in any other book. This is a treasure trove of baseball history for statistically minded baseball fans that's also packed with intriguing marginalia. For instance, on July 25, 1967, Chicago's Ken Berry ended Game Two of a doubleheader against Cleveland with a home run in the bottom of the sixteenth inning -- Chicago's second game-winning homer of the day. The comprehensive lists include Most Career Home Runs by Two Brothers (Tommie and Hank Aaron have 768), Most Seasons with 15 or More Wins (Cy Young and Greg Maddux each have 18), and Highest On Base Percentage in a Season by a Rookie (listing every rookie above .400). Unlike other record books that only list the record holders -- say, most RBI by a rookie, held by Ted Williams with 145 -- SABR details every rookie to reach 100 RBI. Other record books might note the last pitcher in each league to steal home; here SABR has included every pitcher to do it. The book also includes a number of idiosyncratic features, such as a rundown of every player who has hit a triple and then stolen home, or every reliever who has won two games in one day. Many of the lists include a comments column for key historical notes and entertaining trivia (Bob Horner hit four home runs in a 1986 game, but his team lost). This is a must-have for every fan's library. Edited by Lyle Spatz, Chairman of the Baseball Records Committee for SABR
Author: Diane Firstman Publisher: ISBN: 9781734167405 Category : Languages : en Pages :
Book Description
Biographical profiles and fun factoids of 100 of the most memorable names in baseball history. The names I'm profiling here are divided into four groups (admittedly a few of these players could qualify for more than one category):?Baseball Poets/Men of (Few Different) Letters: Players with rhyming names and/or alliterative names.?Dirty Names Done Dirt Cheap: Players with scatological or otherwise naughty names.?Sounds Good to Me: Players with mellifluous/melodious names.?No Focus Group Convened: Players whose names don't fall into one of the prior three categories, or ones that might involve us questioning the intentions of the player's parents.Each player profile within has the following:?general demographic information (name they played under, their full name at birth, date of birth/death, years active in the majors, positions played, etc.)?etymology/definition of each part of their given name?baseball biography (generally, how they made it to the majors, what they did while they were there)?best day (a recap of a great day in their major league career)?the wonder of his name (why his name is memorable to me/us)?not to be confused with (names that sound and/or look like the player's name)?fun anagrams (anagrams of their given names, just because I can)?ephemera (factoids, tidbits, trivia about the player, details regarding their parents, their family and their life after baseball)
Author: Christian Crispoldi Publisher: Springer ISBN: 1137378646 Category : Business & Economics Languages : en Pages : 274
Book Description
Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. 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 and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.
Author: David H. Martinez Publisher: Plume Books ISBN: Category : Sports & Recreation Languages : en Pages : 414
Book Description
For baseball's millions of fans, this ultimate reference to the national pastime features a listing of more than 800 memorable people, places, dates, events, terms, records, and statistics. From the game's origins in the 1840s to the present day, The Book of Baseball Literacy presents complete details on the great sport in one lively, fascinating treasury.
Author: Ibn Qayyim Publisher: El-Farouq.Org ISBN: 9781643540801 Category : Languages : en Pages : 68
Book Description
Patience and Gratitude Imam Ibn Qayyim Al-Jawziyah This is Patience and Gratitude by Ibn Qayyim. The author explains the Islamic concept of sabr (patience) and its counterpart shakr (gratitude), in a practical fashion.
Author: Jerry Crasnick Publisher: Rodale Books ISBN: 9781594860249 Category : Sports & Recreation Languages : en Pages : 328
Book Description
The movie Jerry Maguire and HBO series Arli$$ barely skimmed the surface. Now the true inside story of the sports agent business is exposed as never before. During baseball's evolution from national pastime to a $3.6 billion business, the game's agents have played a pivotal role in driving and (some might say) ruining the sport. In a world of unchecked egos and minimal regulation, client-stealing and financial inducements have become commonplace, leading many to label the field a cesspool, devoid of loyalties and filled with predators. Matt Sosnick entered these shark-infested waters in 1997, leaving a job as CEO of a San Francisco high-tech company to represent ballplayers--and hoping to do so while keeping his romantic love of baseball and his integrity intact. License to Deal follows Sosnick as he deals with his up-and-coming clients (his most famous is the 2003 rookie-of-the-year pitching sensation Dontrelle Willis). We become privy to never-before-disclosed stories behind the rise of baseball's most powerful agent, Scott Boras. And we get a novel perspective on the art of the deal and the economics of baseball. By one of baseball's most respected sportswriters, who is now ESPN.com's lead Insider baseball reporter, License to Deal, like Michael Lewis's bestselling Moneyball, will provide fuel for many a heated baseball discussion.
Author: Bill Nowlin Publisher: Sabr Baseball Library ISBN: 9781970159172 Category : Sports & Recreation Languages : en Pages : 316
Book Description
Babe Ruth thrilled baseball fans with his tremendous home-run swing. He made friends-and some enemies-with his loud, larger-than-life personality. The list of books about Ruth could fill a few bookshelves. Most recently, SABR awarded the prestigious Seymour Medal to Jane Leavy for her 2018 biography entitled The Big Fella, and she contributes the introduction to this book we call THE BABE. A baseball book published under that title is quite naturally about the great slugger for the New York Yankees, who led the American League in home runs 12 times and lived life large during the Jazz Age. This book includes the contributions of over 50 SABR members: 30 articles, plus accounts of 50 notable games from The Babe's career. He hit tape-measure long balls, fought with managers, won more than 90 games as a pitcher, and gave time and money to children's charities. In no way is this an exhaustive last word on Babe Ruth. That might be an impossible chore. We do believe this book will help readers get a fuller picture of baseball's most fabled figure, a man still famous today and still revered in the game he loved. Introduction, Jane Leavy 1. George Herman "Babe" Ruth, Allan Wood 2. Babe - A Baseball Nickname, Bill Nowlin 3. How "Ruthian" Was Babe Ruth?, Mike Huber 4. Cool Babe Ruth Facts, Allan Wood 5. The Home Runs That Changed Everything, Hot Springs Historic Baseball Trail Research Team: Mark Blaeuer, Mike Dugan, Don Duren, Bill Jenkinson, and Tim Reid 6. Showdown: Babe Ruth's Rebellious Barnstorming Tour, T S Flynn 7. Babe Ruth in Minnesota, Stew Thornley 8. Babe Ruth Visits Louisville, Harry Rothgerber 9. The Babe Comes North, David McDonald 10. The Babe's Canadian Connections, David McDonald 11. Babe Ruth and Baseball Diplomacy, Robert K. Fitts 12. Cigars, Horses, and A Couple of Homers: The Bambino's Experience in Cuba, Reynaldo Cruz and Bill Nowlin 13. Babe Ruth and Cricket, Glen Sparks 14. Sale of the Century: The Yankees Bought Babe Ruth for Nothing, Michael Haupert 15. The Mystery of Jackie Mitchell and Babe Ruth, Leslie Heaphy 16. Babe Ruth & Lou Gehrig, Tara Krieger 17. Babe Ruth and Ownership: Not A Match Made in Heaven, Gary Sarnoff 18. Babe Ruth and the Boston Braves before Opening Day 1935, Carolyn Fuchs and Wayne Soini, with Herb Crehan 19. Babe Ruth's National League "Career" 28 Games with the 1935 Boston Braves, Saul Wisnia 20. U. S. Presidents and The Babe, Curt Smith 21. The Babe: In Person and Onscreen, Rob Edelman 22. Babe Ruth Characterizations - and Caricatures, Rob Edelman 23. To the Rescue: Brother Matthias, Brian (Chip) Martin 24. Babe Ruth: A Man of Simple Faith, Gabriel B. Costa 25. Babe Ruth's Final Legacy to the Kids, Alan Cohen 26. The Babe's Final Personal Appearance, Steve Smith 27. Even Against HOF Hurlers, Ruth Was King of Swing, Ed Gruver 28. The Babe as a Pitcher, Pete Palmer 29. Babe Ruth Stealing Home, Bill Nowlin 30. 715, Allan Wood BALLGAMES 31. July 11, 1914: Babe Ruth Debuts, Joe Schuster 32. October 2, 1914: A Sign of So Many Swats to Come, Mark S. Sternman 33. May 6, 1915: Ruth's First Career Home Run, Mike Huber 34. May 20, 1916: Ruth Replaced While Throwing No-Hitter, Bill Nowlin 35. June 13, 1916: Red-Hot Ruth vs the Browns, James Forr, 36. August 15, 1916: Ruth Outlasts Johnson, Jack Zerby, 37. October 9, 1916: Red Sox Win Game Two on a Loaned Diamond, Cecilia M. Tan and Bill Nowlin 38. May 6, 1918: First Start As A Position Player, Glen Sparks 39. September 5, 1918: Babe Ruth Tosses Shutout, Mike Huber 40. April 18, 1919: Six Home Runs in Six At-Bats, Jimmy Keenan And over 40 more!
Author: Riccardo Rebonato
Author: Riccardo Rebonato
Author: Society for American Baseball Research
Author: Diane Firstman
Author: Christian Crispoldi
Author: David H. Martinez
Author: Ibne-Qayyim Al-Jawziyya
Author: Jeremy Beer
Author: Ibn Qayyim
Author: Jerry Crasnick
Author: Bill Nowlin