SABR Model
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
29
Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems
15
On the approximation of the SABR model: a probabilistic approach
34
Calibrating and completing the volatility cube in the SABR Model
23
Calibration of the SABR Model in Illiquid Markets
15
Local time for the SABR model Connection with the “complex” Black Scholes And application to CMS and Spread Options
17
Advanced analytics for the SABR model
58
SABR model, a stochastic
25
A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1
28
Extensions of the SABR Model for Equity Options
54
2SABR Implied Volatility and Option Prices
9
Copenhagen Business School
101
ASYMPTOTIC APPROXIMATIONS TO CEV AND SABR MODELS
38
ZABR -- Expansions for the Masses
16
SE R I E S E XP AN SI O NOF T H ESABR J O I NT D E NSI T Y
35
Cutting Edge introduction: SABR rattling
11
Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives
24
Interest Rates After The Credit Crunch: Multiple Curve Vanilla Derivatives and SABR
27
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration
23
Evaluation of a reproducible breath hold technique for the SABR treatment of lower lobe lung tumours
25