Yeeaaasss!!! Finally! Thank you so very much for this video on SABR!!! :) Quantpie = Best online content for Quants. Period. (Including paid channels!)
Excellent video!! In my humble opinion, SABR model and its adjustments for low strikes and the fat tails at high strikes are extremely material tools/methods in pricing IR products. Thank you so much for this golden source!! Keep up the great job!
Awesome upload. It's incredible to look back 2+ years ago and how far this channel (and my own learning) has come :). If there is anything I believe is true for myself, it is that this material needs time to really internalize and become visceral, it is not an overnight process or something for 1 semester (for brains my size anyway lol.)
Until the 17th we are together but after the Use of the diffusion equation İ kinda lost you... excellent job by the way it contributes a lot to my thesis.. can't wait for part 2
Thanks for this video. Do you plan to do another one with the full derivation, i.e., not assuming deterministic volatility? If not, do you know of any good sources that work through the full derivation in detail?
Thanks for the awesome video, quantpie!! Is SABR solve all the problem of IR instruments pricing with volatility skews? It would be great if models to solve hybrid equity/ETF instrument pricing can be discussed as well.
Hi quantpie, this is fanstatic video thanks for sharing. I am a young quant working in the industry and there are many topics that I would love to learn about, your channel has been very helpful! Was wondering if you are aware of something called “multi-curve framework”? I think it’s everywhere in the banks now but we have never heard about that at uni. It would be great if we could have a few videos about the topic (only if you are familiar) Thanks much!
thank you! We shall get back to the interest rates playlist at some point. In the meantime, for multi-curve, here is very good and accessible paper: papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548
over the next week hopefully! We will try to provide an update on what we are up to here: www.getrevue.co/profile/quantpie/issues/quantpie-s-newsletter-issue-032021a-421700
Yeeaaasss!!! Finally! Thank you so very much for this video on SABR!!! :) Quantpie = Best online content for Quants. Period. (Including paid channels!)
Glad you enjoyed it! thank you! soz took a while!
Excellent video!! In my humble opinion, SABR model and its adjustments for low strikes and the fat tails at high strikes are extremely material tools/methods in pricing IR products. Thank you so much for this golden source!! Keep up the great job!
thank you! very true, it does get used!
Awesome upload. It's incredible to look back 2+ years ago and how far this channel (and my own learning) has come :). If there is anything I believe is true for myself, it is that this material needs time to really internalize and become visceral, it is not an overnight process or something for 1 semester (for brains my size anyway lol.)
thanks Brian! very well said, can't agree more!
Thank you so much friend! I really appreciate your videos.
Can I offer to buy you a beer?
So nice of you! You are welcome! Sorry for the delay!!
@@quantpie Can't wait for Part 2 my friend!
Until the 17th we are together but after the Use of the diffusion equation İ kinda lost you... excellent job by the way it contributes a lot to my thesis.. can't wait for part 2
many thanks! Soz we assumed the diffusion solution is known because we covered these topics before, so went a bit fast there!
Your videos are awesome. Which software u use for these videos ?
Thanks for this video. Do you plan to do another one with the full derivation, i.e., not assuming deterministic volatility? If not, do you know of any good sources that work through the full derivation in detail?
Never mind - just found part 2!
Thanks for the awesome video, quantpie!!
Is SABR solve all the problem of IR instruments pricing with volatility skews?
It would be great if models to solve hybrid equity/ETF instrument pricing can be discussed as well.
Hi quantpie, this is fanstatic video thanks for sharing.
I am a young quant working in the industry and there are many topics that I would love to learn about, your channel has been very helpful!
Was wondering if you are aware of something called “multi-curve framework”? I think it’s everywhere in the banks now but we have never heard about that at uni. It would be great if we could have a few videos about the topic (only if you are familiar)
Thanks much!
thank you! We shall get back to the interest rates playlist at some point. In the meantime, for multi-curve, here is very good and accessible paper: papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548
I also have a question: while pricing options in the periods of low or negative rates what should be the appropriate model to use?
thanks! The Normal model or the shifted Black (and associated shifted SABR) works fine!
Hey buddy when can we see Part 2?
over the next week hopefully! We will try to provide an update on what we are up to here: www.getrevue.co/profile/quantpie/issues/quantpie-s-newsletter-issue-032021a-421700
thanks
you're welcome!!