Understanding and Applying the SABR Model

Описание к видео Understanding and Applying the SABR Model

The Stochastic Alpha Beta Rho Nu (SABR) model, as described in the classic paper by Hagan et al, "Managing Smile Risk", from 2002, is an industry-standard volatility pricing model that generates market-consistent implied volatilities and option hedges. While seemingly difficult from a mathematical perspective, it is actually pretty straightforward to figure out once you unpack the basics. This video lecture goes through those basics and explains how the model is defined, calibrated, and applied, and presents results from a variety of calibration runs. Both the presentation and its companion R code can be downloaded directly from my website.

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