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SABR volatility model

Known as: SABR (disambiguation) 
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The… 
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Related topics

Related topics

3 relations
Black modelConstant elasticity of variance modelRisk-neutral measure

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2013
2013
Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy
The Mojito 2.0 strategy was developed. The Mojito is an improved version of the S&P Dynamic VIX futures index. The general idea… 
Review
2012
Review
2012
Managing Mongolia’s resource boom
With two very large mining projects expected to reach full production this decade, Mongolia is entering a commodity boom. History… 
2011
2011
Investors' and Central Bank's Uncertainty Embedded in Index Options
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio… 
2011
2011
Toward Inflation Targeting in Sri Lanka
This paper develops a practical model-based forecasting and policy analysis system (FPAS) to support a transition to an inflation… 
2009
2009
Are volatility indices in international stock markets forward looking?
We analyze the information content in volatility indices of international stock markets regarding current and future market… 
2009
2009
Macroeconomic Volatility and Terms of Trade Shocks
This paper explores the effect of terms of trade volatility on macroeconomic volatility using a panel of 71 countries from 1971… 
2009
2009
Output volatility in Australia
A number of papers have documented a significant decline in real GDP volatility in several major OECD economies. Some authors… 
2009
2009
The Effect of Exchange Rate Disequilibrium and Financial Integration on Economic Growth
We identify the determinants of the equilibrium real exchange rates (RER) in 10 selected countries of South and South East Asia… 
2003
2003
Supply-side Contributions to New Zealand's Gdp Volatility Decline
The views expressed in this Working Paper are those of the author(s) and do not necessarily reflect the views of the Treasury… 
2002
2002
Thermal stability of organo-chromium or chromium organic complexes and vapor pressure measurements on tris(2,4-pentanedionato)chromium(III) and hexacarbonyl chromium(0) by TG-based transpiration…
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