Serving the Quantitative Finance Community

Search found 2 matches

by dpacc
May 27th, 2022, 3:33 pm
Forum: Book And Research Paper Forum
Topic: New paper -- Proof of non-convergence of the short-maturity expansion for the SABR model
Replies: 8
Views: 2558

Re: New paper -- Proof of non-convergence of the short-maturity expansion for the SABR model

The divergence of the Eurodollar futures prices in the Dothan and Black-Karasinski models (treated in continuous time) was shown a long time ago by Hogan and Weintraub (1998) . However it was not clear how to reconcile this with the finiteness of the Eurodollar futures in discrete time. This questio...
by dpacc
May 23rd, 2022, 4:31 pm
Forum: Book And Research Paper Forum
Topic: New paper -- Proof of non-convergence of the short-maturity expansion for the SABR model
Replies: 8
Views: 2558

Re: New paper -- Proof of non-convergence of the short-maturity expansion for the SABR model

Dan is a serial model killer. He's already killed LMM, quadratic Cheyette and now SABR. What's next? Will all due modesty, my reputation as a model-slayer is undeserved. I prefer to think of it as mapping the limits of applicability of these models.  Both the LMM and log-normal type Cheyette are pe...