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. 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.Aimed mainly at financial industry practitioners
(for example quants and former physicists) this book will also be interesting to mathematicians
who seek intuition in the mathematical finance.
