SABR and SABR LIBOR Market Models in Practice
With Examples Implemented in Python
Christian Crispoldi, Gerald Wigger, Peter Larkin
Palgrave Macmillan
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About the Authors
Christian Crispoldi is a Vice President at Nomura in New York where he is responsible for the valuation and pricing of interest rate derivatives. Previously he worked as a financial engineer in various banks across Europe. Christian holds a masters degree in Mathematical Finance from the University of York, UK, and a bachelor degree in Computer Engineering from the University of Bologna, Italy.

Gerald Wigger is Head of Quantitative Analysis at Weisshorn Re. He previously worked in various roles such as Head of Pricing at Axa Winterthur, Head of Risk Modeling at Zürcher Kantonalbank and Interest Rate Derivatives Quant at Bank of America Merril Lynch. Gerald Wigger holds a PhD in Solid State Physics from ETH Zurich.

Peter Larkin is a Data Scientist working on building predictive models using big data in the (re)insurance industry. Previously he worked as a Quantitative Analyst in the financial services industry working on projects spanning the pricing of structured products, credit and market risk, and asset management. Peter has a background in Theoretical Physics and received his Ph.D from the University of York in 2008, previously having studied at Cambridge University and Imperial College London. In 2012 he also completed a MSc in Mathematical Finance from the University of Oxford.