Mixing SABR Models for Negative Rates

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Othmane Islah · SSRN Electronic Journal · 2009 · 56 citations · Full text

Business, Economics, Finance +15

The Free Boundary SABR: Natural Extension to Negative Rates

Alexandre Antonov, Michael Konikov, Michael Spector · SSRN Electronic Journal · 2015 · 45 citations · Full text

Business, Economics, Finance +11

In the trenches. Convexity conundrums: Pricing CMS swaps, caps, and floors

Pat Hagan · Wilmott · 2003 · 42 citations

Business, Business Economics, Economics +14

Asymptotic Implied Volatility at the Second Order with Application to the SABR Model

Louis Paulot · SSRN Electronic Journal · 2009 · 39 citations · Full text

Business, Meteorology, Financial Economics +11

Exact Analytical Solution for the Normal SABR Model

Ralf Korn, Songyin Tang · Wilmott · 2013 · 15 citations

Computing, Systems Engineering, Computational Electromagnetics +2