The SABR model for volatility is adapted to price risk-free rate caplets
Introducing a new technique to control the behaviour of neural networks
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
EBA options for lighter capital treatment of parametric curves could prove impractical
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