Advanced Analytics for the SABR Model

Dynamical Theory of Groups and Fields

Bryce S. DeWitt, Albert A. Mullin · American Journal of Physics · 1966 · 1.6K citations

Natural Sciences, Mathematics, Dynamical Systems +8

Computing the implied volatility in stochastic volatility models

Henri Berestycki, Jérôme Busca, Igor Florent · Communications on Pure and Applied Mathematics · 2004 · 234 citations

Business, Computational Engineering, Stochastic Modeling +12

An upper bound to the spectrum of $\Delta $ on a manifold of negative curvature

H. P. McKean · Journal of Differential Geometry · 1970 · 222 citations · Full text

Natural Sciences, Physics, Cosmology +10

Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options

Peter Carr, Michael Schröder · Theory of Probability and Its Applications · 2004 · 76 citations

Engineering, Economics, Finance +12

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