Results 71 to 80 of about 1,031 (118)
Semi-groups and the mean reverting SABR stochastic volatility model
, 2018 Anna L. Mazzucato +2 more
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Implied Volatilities for Mean Reverting SABR Models
Wilmott, 2020 Patrick S. Hagan +2 more
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Analytical Solutions of the SABR Stochastic Volatility Model
, 2012 This thesis studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's interconnected financial world.
Qi Wu
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Efficient Calibration and Pricing in LIBOR Market Models with SABR Stochastic Volatility Using GPUs
, 2016 In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models, several extensions of LIBOR models to incorporate stochastic volatilities have been proposed. The efficient calibration to market data of these more complex models becomes a relevant target in practice.
A. Ferreiro +3 more
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Calibrating and completing the volatility cube in the SABR Model [PDF]
, 2011 This report describes the calibration and completion of the volatility cube in the SABR model. The description is based on a project done for Assenagon GmbH in Munich. However, we use fictitious market data which resembles realistic market data. The problem posed by our client is formulated in section 1.
Georgi Dimitroff, Johan de Kock
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European Journal of Operational Research, 2020 We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset prices under general stochastic local volatility (SLV) models arising in finance, which includes ...
Zhenyu Cui, Justin Kirkby, Duy Nguyen
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Volatility and variance swaps and options in the fractional SABR model
The European Journal of Finance, 2020 Appropriate capturing the nature of financial market volatility is a significant factor for the pricing of volatility derivatives. A recent study by Gatheral, Jaisson and Rosenbaum [2018.
See-Woo Kim, Jeong‐Hoon Kim
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The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model [PDF]
SSRN Electronic Journal, 2007 The author considers SABR model which is a two factor stochastic volatility model and gives an asymptotic expansion formula of implied volatilities for this model. His approach is based on infinite dimensional analysis on the Malliavin calculus and large deviation.
Yasufumi Osajima
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Machine Learning SABR Model of Stochastic Volatility With Lookup Table
SSRN Electronic Journal, 2020 We present an embarrassingly simple method for supervised learning of SABR model’s European option price function based on lookup table or rote machine learning. Performance in time domain is comparable to generally used analytic approximations utilized in financial industry.
Mahir Lokvancic
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