• Corpus ID: 250215361

Multivariate fractional Brownian motion and generalizations of SABR model

@inproceedings{Musiela2019MultivariateFB,
  title={Multivariate fractional Brownian motion and generalizations of SABR model},
  author={Marek Musiela},
  year={2019}
}
The SABR model is a generalization of the Constant Elasticity of Variance (CEV) model. It was introduced and analyzed by Hagan et al. (2002). Rapidly it has become the market standard for quoting cap and swaption volatilities thanks to the approximate formula for implied volatility which allowed real time risk management of large books of caps and swaptions. Later on it was also used in FX and equity markets. The generalization introduces stochastic volatility to the CEV model. The volatility… 
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