Modern Sabr Analytics

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.

Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments. Author and experienced financial engineer Dr. Colin Turfus has created an approach that allows model validators to perform rapid benchmarking of risk and pricing models while making the most efficient use possible of computing resources. The book provides innumerable benefits to a wide range of quantitative financial experts attempting to comply with increasingly burdensome regulatory stress-testing requirements, including: Replacing time-consuming Monte Carlo simulations with faster, simpler pricing algorithms for front-office quants Allowing CVA quants to quantify the impact of counterparty risk, including wrong-way correlation risk, more efficiently Developing more efficient algorithms for generating stress scenarios for market risk quants Obtaining more intuitive analytic pricing formulae which offer a clearer intuition of the important relationships among market parameters, modelling assumptions and trade/portfolio characteristics for traders The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVA/DVA calculations and contingent credit default swap pricing.

This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. The new topics, in particular, include mean-square and weak approximations in the case of nonglobally Lipschitz coefficients of Stochastic Differential Equations (SDEs) including the concept of rejecting trajectories; conditional probabilistic representations and their application to practical variance reduction using regression methods; multi-level Monte Carlo method; computing ergodic limits and additional classes of geometric integrators used in molecular dynamics; numerical methods for FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics. SDEs have many applications in the natural sciences and in finance. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce the solution of multi-dimensional problems for partial differential equations to the integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. Many special schemes for SDEs are presented. In the second part of the book numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear, are constructed. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, applied probability, physics, chemistry, and engineering as well as mathematical biology and financial mathematics.

The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models. The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book. The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models.

"This delightfully written, lesson-laden book deserves a place of its own in the Baseball Hall of Fame." —Forbes Moneyball is a quest for the secret of success in baseball. In a narrative full of fabulous characters and brilliant excursions into the unexpected, Michael Lewis follows the low-budget Oakland A's, visionary general manager Billy Beane, and the strange brotherhood of amateur baseball theorists. They are all in search of new baseball knowledge—insights that will give the little guy who is willing to discard old wisdom the edge over big money.

"Short, factual description of the book (summary of what it includes, without subjective or promotional language.) This classic but thoroughly updated introductory text is designed so students will understand sport management as a field of study and a vibrant professional environment. It emphasizes critical-thinking, ethics, and diversity while providing a broad introduction to the major functional areas and issues that student will encounter in their careers"--

Updated and revised with the latest data in the field, Principles and Practice of Sport Management, Seventh Edition provides students with the foundation they need to prepare for a variety of sport management careers. Offering an overview of the sport industry and coverage of the foundational knowledge and skills of the today's sport manager, this market leading text ensures that readers not only understand this dynamic field but have the tools and skills they need to pursue potential employment and career opportunitiesOffering an overview of the sport industry and coverage of the foundational knowledge and skills of the today's sport manager, this market leading text ensures that readers not only understand this dynamic field but have the tools and skills they need to pursue potential employment and career opportunities. Key Features: - New chapter on eSports introduces students to this rapidly developing billion-dollar industry which draws in gamers, spectators, teams, leagues, and sponsors increasingly in need of sport managers' expertise - Discussion on the impact of the COVID-19 pandemic on the sports industry - An expanded look at emerging and innovative forms of sports media in the Sports Communications Chapter. - Revamped Ethics chapter that addresses newly emerging issues and how sports managers should address them. - Interactive case studies and chapter questions offer opportunities to apply concepts and principles. - Student Workbook! This 190-page workbook within the Navigate Advantage includes activities for each chapter for additional practice and reinforcement. - Navigate Advantage Access (included with the printed text) unlocks a comprehensive and interactive eBook, a 190-page digital workbook with practice activities for each chapter, assessments, a full suite of instructor resources, and learning analytics reporting tools. - Unparalleled in instructor resources, including test banks, presentation slides, answer keys to case study questions, and more help facilitate class preparation.

When Bill James published his original Historical Baseball Abstract in 1985, he produced an immediate classic, hailed by the Chicago Tribune as the “holy book of baseball.” Now, baseball's beloved “Sultan of Stats” (The Boston Globe) is back with a fully revised and updated edition for the new millennium. Like the original, The New Bill James Historical Baseball Abstract is really several books in one. The Game provides a century's worth of American baseball history, told one decade at a time, with energetic facts and figures about How, Where, and by Whom the game was played. In The Players, you'll find listings of the top 100 players at each position in the major leagues, along with James's signature stats-based ratings method called “Win Shares,” a way of quantifying individual performance and calculating the offensive and defensive contributions of catchers, pitchers, infielders, and outfielders. And there's more: the Reference section covers Win Shares for each season and each player, and even offers a Win Share team comparison. A must-have for baseball fans and historians alike, The New Bill James Historical Baseball Abstract is as essential, entertaining, and enlightening as the sport itself.