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Erschienen in:
2019 | OriginalPaper | Buchkapitel
6. Conclusion
verfasst von : Alexandre Antonov, Michael Konikov, Michael Spector
Erschienen in: Modern SABR Analytics
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Abstract
In this book, we have unified modern analytical material on the SABR model. Due to a small size of the book we have selected the shortest and most intuitive proofs of the underlying mathematical results. Moreover, we have presented simple insights for numerous non-trivial concepts in the stochastic processes and the approximation theory. Finally, we have presented numerous numerical results comparing analytics with simulation which can potentially serve as validation benchmarks.