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… (More)
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2005
2005
Adaptive exponential smoothing methods allow smoothing parameters to change over time, in order to adapt to changes in the… (More)
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2003
2003
The paper analyzes the causal linkage between transaction costs and financial volatility under two methodological improvements… (More)
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Highly Cited
2002
Highly Cited
2002
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying… (More)
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Highly Cited
2002
Highly Cited
2002
We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a… (More)
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Highly Cited
2001
Highly Cited
2001
  • JØRN E RAKER
  • 2001
This paper studies the empirical performance of jump-di usion models that allow for stochastic volatility and correlated jumps a… (More)
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Highly Cited
2000
Highly Cited
2000
The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks’ portfolios… (More)
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Highly Cited
2000
Highly Cited
2000
Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of… (More)
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Highly Cited
2000
Highly Cited
2000
It depends. If volatility fluctuates in a forecastable way, volatility forecasts are useful for risk management (hence the… (More)
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Highly Cited
1997
Highly Cited
1997
Previous research finds the volatility implied by S&P 100 index option prices to be a biased and inefficient forecast of future… (More)
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Highly Cited
1987
Highly Cited
1987
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market… (More)
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