Stochastic alpha beta rho (SABR) model
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
An artificial neural network representation of the SABR stochastic volatility model
In this paper the universal approximation theorem of artificial neural networks (ANNs) is applied to the stochastic alpha beta rho (SABR) stochastic volatility model in order to construct highly efficient representations.
Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
An end to replication
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Deep asymptotics
Introducing a new technique to control the behaviour of neural networks
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Podcast: Dominique Bang on his stochastic local vol model
New approach delivers quick and accurate computation of prices
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Quant analyst Antonov to swap Numerix for Standard Chartered
New role in London only second for Numerix veteran
Model-free valuation of barrier options
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Finite difference techniques for arbitrage-free SABR
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options