September 27, 2022

Stochastic Volatility – a Story of Two Decades of SABR and Wilmott Magazine

Download our article, written by Jörg Kienitz – Partner of Acadia’s Quantitative Services division, lecturer and author, that pays tribute to the inventors of the iconic SABR model on its two-decade anniversary. Kienitz discusses developments with applications of SABR in the twenty years since its conception.

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