Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry (Q4560328)
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scientific article; zbMATH DE number 6991884
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry |
scientific article; zbMATH DE number 6991884 |
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Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry (English)
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11 December 2018
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heat kernel expansion
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hyperbolic geometry
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asymptotic smile formula
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stochastic Libor market model
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