SABR volatility model: Revision history

10 September 2024

• curprev 22:2622:26, 10 September 2024 Ajkirk talk contribs m 18,196 bytes +193 →Asymptotic solution: Fixed problem that formula is undefined when K=F_0. undo

31 May 2024

• curprev 08:0708:07, 31 May 2024 109.54.165.19 talk 18,003 bytes 0 →Dynamics undo Tags: Mobile edit Mobile web edit
• curprev 00:3000:30, 31 May 2024 ChromeGames talk contribs 18,003 bytes −37 Ce undo Tags: Mobile edit Mobile web edit Advanced mobile edit

19 February 2024

• curprev 18:0418:04, 19 February 2024 GreenC bot talk contribs 18,040 bytes −2 Reformat 1 URL (Wayback Medic 2.5) undo

25 October 2023

• curprev 20:2920:29, 25 October 2023 Citation bot talk contribs 18,042 bytes −104 Removed proxy/dead URL that duplicated identifier. Removed access-date with no URL. | Use this bot. Report bugs. | #UCB_CommandLine undo

25 July 2023

• curprev 08:1608:16, 25 July 2023 Citation bot talk contribs 18,146 bytes 0 Misc citation tidying. | Use this bot. Report bugs. | #UCB_CommandLine undo

27 June 2023

• curprev 06:5806:58, 27 June 2023 2a01:e0a:24a:f8c0:8089:2316:ea27:8ca1 talk 18,146 bytes +75 →Dynamics: The effect of the SABR parameters to the volatility curve is wrong. I fixed it. undo

10 February 2023

• curprev 07:1607:16, 10 February 2023 Citation bot talk contribs 18,071 bytes +88 Add: s2cid, doi, pages, issue, volume. Upgrade ISBN10 to 13. | Use this bot. Report bugs. | Suggested by Corvus florensis | #UCB_webform 652/3499 undo

1 September 2022

• curprev 10:5010:50, 1 September 2022 155.145.195.132 talk 17,983 bytes 0 No edit summary undo

22 July 2022

• curprev 19:1319:13, 22 July 2022 MathInstructor talk contribs m 17,983 bytes +2 Typo fixes undo

29 June 2022

• curprev 16:0416:04, 29 June 2022 2601:541:4580:8500:8c64:3f96:34de:16fd talk 17,981 bytes 0 change link undo

8 June 2022

• curprev 07:5807:58, 8 June 2022 Yuri V. talk contribs m 17,981 bytes −2 →Further reading: date= 2 May 2019 undo
• curprev 07:5207:52, 8 June 2022 Yuri V. talk contribs 17,983 bytes −1 →Further reading: 1st ed. 2019 Edition undo
• curprev 07:4707:47, 8 June 2022 Yuri V. talk contribs 17,984 bytes +166 →Further reading: Press Release, New York, NY – June 24, 2019 undo
• curprev 07:4307:43, 8 June 2022 Yuri V. talk contribs 17,818 bytes +339 →Further reading undo

28 May 2022

• curprev 09:2409:24, 28 May 2022 NFT2500 talk contribs 17,479 bytes −2 space undo Tag: Visual edit

1 May 2022

• curprev 02:0302:03, 1 May 2022 Xenophore talk contribs 17,481 bytes +1 Renamed section undo

30 April 2022

• curprev 22:2322:23, 30 April 2022 Citation bot talk contribs 17,480 bytes +2 Add: eprint. Removed parameters. Some additions/deletions were parameter name changes. | Use this bot. Report bugs. | Suggested by Xenophore | #UCB_toolbar undo
• curprev 21:3421:34, 30 April 2022 Xenophore talk contribs m 17,478 bytes +2,298 Verified citations, references edited with ProveIt undo
• curprev 08:5608:56, 30 April 2022 212.132.228.192 talk 15,180 bytes −74 →External links: Dead link. undo

8 March 2022

• curprev 03:1903:19, 8 March 2022 Citation bot talk contribs 15,254 bytes +18 Add: s2cid, arxiv, authors 1-1. Removed parameters. Some additions/deletions were parameter name changes. | Use this bot. Report bugs. | Suggested by Jaesmine | #UCB_toolbar undo

22 February 2022

• curprev 13:4013:40, 22 February 2022 79.36.81.218 talk 15,236 bytes +783 →Extensions: new paper undo Tag: Visual edit

30 January 2022

• curprev 19:1219:12, 30 January 2022 Citation bot talk contribs 14,453 bytes +55 Alter: pages, template type. Add: url, s2cid. Formatted dashes. | Use this bot. Report bugs. | Suggested by AManWithNoPlan | #UCB_webform 843/1682 undo

26 December 2021

• curprev 11:5411:54, 26 December 2021 MicioGeremia talk contribs m 14,398 bytes 0 →SABR for the negative rates undo

15 August 2021

• curprev 18:5818:58, 15 August 2021 66.30.233.120 talk 14,398 bytes −13 →Simulation undo

24 June 2021

• curprev 06:2106:21, 24 June 2021 Jaesmine talk contribs m 14,411 bytes +254 Tidy up references undo

23 June 2021

• curprev 15:3715:37, 23 June 2021 Jaesmine talk contribs 14,157 bytes +203 No edit summary undo

21 June 2021

• curprev 13:4013:40, 21 June 2021 WikiCleanerBot talk contribs m 13,954 bytes 0 v2.04b - Bot T20 CW#61 - Fix errors for CW project (Reference before punctuation) undo Tag: WPCleaner

18 June 2021

• curprev 07:1507:15, 18 June 2021 Jaesmine talk contribs m 13,954 bytes +594 Added a result from a recent publication. undo

4 February 2021

• curprev 07:0407:04, 4 February 2021 Pharaohera talk contribs 13,360 bytes −1 No edit summary undo Tag: Visual edit

14 January 2021

• curprev 20:2420:24, 14 January 2021 Yobot talk contribs m 13,361 bytes −2 →Simulation: References after punctuation per WP:REFPUNCT, WP:CITEFOOT, WP:PAIC + other fixes undo Tag: AWB

21 August 2020

• curprev 20:3420:34, 21 August 2020 Citation bot talk contribs 13,363 bytes +144 Add: class, year, eprint, s2cid, author pars. 1-1. Removed parameters. Some additions/deletions were actually parameter name changes. | You can use this bot yourself. Report bugs here. | Suggested by AManWithNoPlan | Category:Articles with missing Cite arXiv inputs | via #UCB_Category undo

19 August 2020

• curprev 14:5514:55, 19 August 2020 Lena Virginia Birse talk contribs m 13,219 bytes −89 Excessive Details. undo

1 August 2020

• curprev 17:5917:59, 1 August 2020 Zhaoxiaochuan talk contribs m 13,308 bytes +1 No edit summary undo

23 July 2020

• curprev 01:4701:47, 23 July 2020 Bender the Bot talk contribs m 13,307 bytes −75 →External links: HTTP → HTTPS for SSRN undo Tag: AWB

29 May 2020

• curprev 18:5918:59, 29 May 2020 Bender235 talk contribs 13,382 bytes +5 No edit summary undo

8 May 2020

• curprev 02:3802:38, 8 May 2020 Hongwai1920 talk contribs m 13,377 bytes −128 →External links: Remove repeated link undo Tag: Visual edit

17 April 2020

• curprev 20:1720:17, 17 April 2020 OAbot talk contribs m 13,505 bytes +17 Open access bot: doi added to citation with #oabot. undo

18 March 2020

• curprev 09:3909:39, 18 March 2020 109.70.200.130 talk 13,488 bytes −1 →Dynamics undo

30 January 2020

• curprev 02:0202:02, 30 January 2020 Ajkirk talk contribs m 13,489 bytes −74 →Asymptotic solution: Removed second definition of F_mid, which is inconsistent with the first definition: "a conveniently chosen midpoint between <math>F_0</math> " undo

6 December 2019

• curprev 10:0110:01, 6 December 2019 155.145.195.136 talk 13,563 bytes 0 →Dynamics undo

30 November 2019

• curprev 23:0823:08, 30 November 2019 Citation bot talk contribs m 13,563 bytes +82 Add: url. | You can use this bot yourself. Report bugs here.| Activated by User:Nemo bis | via #UCB_webform undo

16 November 2019

• curprev 10:0810:08, 16 November 2019 194.224.154.178 talk 13,481 bytes 0 →Simulation: typo SARB-> SABR undo

22 October 2019

• curprev 01:2001:20, 22 October 2019 2604:2000:1105:59c:164f:8aff:fed4:b516 talk 13,481 bytes +1 →Simulation undo

16 September 2019

• curprev 06:3506:35, 16 September 2019 Ajkirk talk contribs m 13,480 bytes +3 Found a \nu that I missed and changed it to \alpha undo
• curprev 06:2706:27, 16 September 2019 Ajkirk talk contribs m 13,477 bytes +74 Defined F_mid undo
• curprev 06:2506:25, 16 September 2019 Ajkirk talk contribs 13,403 bytes +36 →Asymptotic solution undo
• curprev 06:2206:22, 16 September 2019 Ajkirk talk contribs m 13,367 bytes +12 Changed alpha to sigma and nu to alpha, to be consistent with the standard formulation of SABR and the presentation in the section below about negative rates undo
• curprev 05:3405:34, 16 September 2019 Ajkirk talk contribs 13,355 bytes 0 Undid revision 915954671 by Ajkirk (talk) This one was my edit. Wanted to think about it a bit more. undo Tag: Undo
• curprev 05:2905:29, 16 September 2019 Ajkirk talk contribs m 13,355 bytes 0 Removed refs to sigma. In this formulation there is no sigma. The volatility process is labelled alpha. undo