Title: Recent advances in the SABR model
Abstract: The stochastic-alpha-beta-rho (SABR) model has been widely adopted in option trading. In this seminar, I will present recent advances in the SABR model analytics based on my publications. Specifically, I will discuss (i) the equivalent CEV volatility as a better alternative to the equivalent Black-Scholes volatility, (ii) option pricing and Monte-Carlo simulation under the normal (zero beta) SABR model, and (iii) efficient Monte-Carlo simulation under the general SABR model.
Bio: Jaehyuk Choi is an Associate Professor at Peking University HSBC Business School. Before joining academia, He worked for nine years as a fixed-income quant analyst for Goldman Sachs in New York and Hong Kong. He is a co-founder and an advisor of quants.net, a financial analytics company. His research interests include mathematical finance, machine learning, and numerical methods.
Seminar slides
