Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry

DOI10.1007/978-3-319-11605-1_3zbMath1418.91554arXivphysics/0602102OpenAlexW1858244174MaRDI QIDQ4560328

Pierre Henry-Labordère

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0602102

zbMATH Keywords

hyperbolic geometryheat kernel expansionasymptotic smile formulastochastic Libor market model

Mathematics Subject Classification ID

Hyperbolic and elliptic geometries (general) and generalizations (51M10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

Related Items

FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES

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