About: SABR volatility model

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In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick S. Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward.

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  • In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick S. Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward. (en)
  • In matematica finanziaria, il modello SABR è un modello a volatilità stocastica, che tenta di quantificare lo del mercato dei derivati finanziari. Questo modello è largamente utilizzato nell'industria finanziaria, specialmente sul mercato dei derivati sui tassi di interesse. È stato sviluppato da , , e . (it)
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  • y (en)
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  • April 2022 (en)
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  • In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick S. Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward. (en)
  • In matematica finanziaria, il modello SABR è un modello a volatilità stocastica, che tenta di quantificare lo del mercato dei derivati finanziari. Questo modello è largamente utilizzato nell'industria finanziaria, specialmente sul mercato dei derivati sui tassi di interesse. È stato sviluppato da , , e . (it)
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  • Modello SABR (it)
  • SABR volatility model (en)
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