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- SABR_volatility_model abstract "In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward.".
- SABR_volatility_model wikiPageExternalLink 0708.0998v3.
- SABR_volatility_model wikiPageExternalLink 0602102v1.
- SABR_volatility_model wikiPageExternalLink papers.cfm?abstract_id=1850709.
- SABR_volatility_model wikiPageExternalLink papers.cfm?abstract_id=2026350.
- SABR_volatility_model wikiPageExternalLink HedgingUnderSABRModel.pdf.
- SABR_volatility_model wikiPageExternalLink sabrAll.pdf.
- SABR_volatility_model wikiPageExternalLink calibration_sabr.aspx.
- SABR_volatility_model wikiPageExternalLink sabr.html.
- SABR_volatility_model wikiPageExternalLink Calbration%20SABR.aspx.
- SABR_volatility_model wikiPageID "7469547".
- SABR_volatility_model wikiPageRevisionID "580864206".
- SABR_volatility_model hasPhotoCollection SABR_volatility_model.
- SABR_volatility_model subject Category:Derivatives_(finance).
- SABR_volatility_model subject Category:Finance_theories.
- SABR_volatility_model subject Category:Mathematical_finance.
- SABR_volatility_model subject Category:Options_(finance).
- SABR_volatility_model type Abstraction100002137.
- SABR_volatility_model type Communication100033020.
- SABR_volatility_model type DerivativeInstrument106480506.
- SABR_volatility_model type Document106470073.
- SABR_volatility_model type LegalDocument106479665.
- SABR_volatility_model type Option113241600.
- SABR_volatility_model type Options.
- SABR_volatility_model type Writing106362953.
- SABR_volatility_model type WrittenCommunication106349220.
- SABR_volatility_model comment "In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model. The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets. It was developed by Patrick Hagan, Deep Kumar, Andrew Lesniewski, and Diana Woodward.".
- SABR_volatility_model label "SABR volatility model".
- SABR_volatility_model sameAs m.0262qqx.
- SABR_volatility_model sameAs Q7388452.
- SABR_volatility_model sameAs Q7388452.
- SABR_volatility_model sameAs SABR_volatility_model.
- SABR_volatility_model wasDerivedFrom SABR_volatility_model?oldid=580864206.
- SABR_volatility_model isPrimaryTopicOf SABR_volatility_model.