Stochastic alpha beta rho (SABR) model
Cutting Edge introduction: Sticky SABR
Quants develop a hassle-free model that can handle negative interest rates
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
This paper presents a simple approximation for the noarbitrage drifts that appear in Libor market model SABR-family term structure models.
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
SABR symmetry
SABR symmetry
Cutting Edge 2013: fixing SABR
Fixing SABR
Cutting Edge introduction: Accuracy or speed?
Accuracy or speed?
SABR spreads its wings
SABR spreads its wings
Cutting Edge introduction: Continuity error
Continuity error
SABR goes normal
SABR goes normal
Cutting Edge introduction: SABR rattling
SABR rattling
Expanded forward volatility
Expanded forward volatility