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Introduction

Chapter
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Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Abstract

The SABR model introduced in Hagan et al. [39] is widely used by practitioners to capture skew and smile features observed in the interest rates implied volatilities.

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© The Author(s), under exclusive licence to Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Standard Chartered BankLondonUK
  2. 2.Numerix LLCNew YorkUSA

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