SABR and SABR LIBOR Market Models in Practice

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Cover of 'SABR and SABR LIBOR Market Models in Practice'

Table of Contents

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A multi-curve HJM factor model for pricing and risk management

Article in Quantitative Finance (September 2023)

Structural Shifts on Derivatives Markets at the Time of Increasing Digitalization and Post-pandemic Transformation of the Market

Book chapter (March 2022)

Testing for Convexity Relevance: An IFRS 9 Benchmark Cashflow Test Proposal

Preprint in SSRN Electronic Journal (January 2017)

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