Youtor
The SABR Model Part I an Introduction
>> YOUR LINK HERE: ___ http://youtube.com/watch?v=HQfDAIXjdAU
★★ Save 10% on All Quant Next Courses with the Coupon Code: QuantNextYoutube10 ★★ • ★★ For students and graduates, we offer a 50% discount on all courses, please contact us if you are interested ★★ • ★★ Visit us: https://quant-next.com/product/option... ★★ • ★★ Contact us: [email protected] ★★ • ★★ Follow us: / quant-next ★★ • In this video we will introduce the SABR (Stochastic Alpha Beta Rho) model, one of the most popular stochastic volatility model widely used by practitioners. • 0:00 Introduction • 0:13 The Black-Scholes Model and its Limits • 0:21 The Volatility Changes with Time and Clusters • 0:36 Equities and Volatilites are Negatively Correlated in General • 1:11 SABR Model • 2:20 Asymptotic Solution • 3:07 The Volatility Curve in SABR Model • 4:26 The Volatility Smile Dynamic in SABR Model • 5:04 To be Continued • #optionpricing, #quantitativefinance, #financeeducation, #derivatives, #quant, #quantnext
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