BAML quant proposes option pricing model that softens conflict between the two properties
New approach delivers quick and accurate computation of prices
Dominique Bang introduces a novel LSV approach to term distribution modelling
Derivatives consultant proposes a model for arbitrage-free pricing
Quant proposes faster model to price arbitrage-free swaptions
New role in London only second for Numerix veteran
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Quants develop a hassle-free model that can handle negative interest 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.
Prediction of arbitrage-free option prices that outperform existing models
Accuracy or speed?
SABR spreads its wings
SABR goes normal
Expanded forward volatility