The SABR Model Part I: an Introduction
Автор: Quant Next
Загружено: 2024-03-26
Просмотров: 4261
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In this video we will introduce the SABR (Stochastic Alpha Beta Rho) model, one of the most popular stochastic volatility model widely used by practitioners.
0:00 Introduction
0:13 The Black-Scholes Model and its Limits
0:21 The Volatility Changes with Time and Clusters
0:36 Equities and Volatilites are Negatively Correlated in General
1:11 SABR Model
2:20 Asymptotic Solution
3:07 The Volatility Curve in SABR Model
4:26 The Volatility Smile Dynamic in SABR Model
5:04 To be Continued
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