Technical paper/Interest rate options
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
Cutting Edge introduction: SABR rattling
SABR rattling
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Black smirks
Fei Zhou presents a simple stochastic volatility extension of the Black interest rate option pricing model widely used by traders. Using a perturbative expansion in volatility of volatility, he derives modified Black formulas that correctly fit the…