A rough SABR formula

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Abstract
Cite
Fukasawa, Masaaki, and Jim Gatheral. “A Rough SABR Formula”. Frontiers of Mathematical Finance, vol. 1, no. 1, 2022, p. 81, https://doi.org/10.3934/fmf.2021003.
Fukasawa, M., & Gatheral, J. (2022). A rough SABR formula. Frontiers of Mathematical Finance, 1(1), 81. https://doi.org/10.3934/fmf.2021003
Fukasawa, Masaaki, and Jim Gatheral. “A Rough SABR Formula”. Frontiers of Mathematical Finance 1, no. 1 (2022): 81. https://doi.org/10.3934/fmf.2021003.
Fukasawa M, Gatheral J. A rough SABR formula. Frontiers of Mathematical Finance. 2022;1(1):81.
Refrences
Title Journal Journal Categories Citations Publication Date
10.2139/ssrn. 965265
10.1137/18M1167565
Short-time at-the-money skew and rough fractional volatility Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 66 2016
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 9 2021
10.1137/15M1009330
Citations
Title Journal Journal Categories Citations Publication Date
A partial rough path space for rough volatility Electronic Journal of Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2024
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model Computational and Applied Mathematics
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2023
On the Skew and Curvature of the Implied and Local Volatilities Applied Mathematical Finance 2023
MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES

 International Journal of Theoretical and Applied Finance
  • Social Sciences: Finance
 2023
From Constant to Rough: A Survey of Continuous Volatility Modeling

 Mathematics
  • Science: Mathematics
  • Science: Mathematics
 1 2023
Citations Analysis
Category Category Repetition
Science: Mathematics4
Social Sciences: Finance2
Science: Mathematics: Probabilities. Mathematical statistics1
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods1
Social Sciences: Economic theory. Demography: Economics as a science1
Social Sciences: Statistics1
Social Sciences: Commerce: Business1
The category Science: Mathematics 4 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled SABR equipped with AI wings and was published in 2022. The most recent citation comes from a 2024 study titled A partial rough path space for rough volatility. This article reached its peak citation in 2023, with 4 citations. It has been cited in 6 different journals, 16% of which are open access. Among related journals, the Electronic Journal of Probability cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year