SABR Volatility Model and its Calibration in Python
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets.
The name stands for "stochastic alpha, beta, rho", referring to the parameters of the model.
The SABR model is widely used by practitioners in the financial industry, especially in the interest rate derivative markets.
I explained the formula of SABR model, then demonstrated how to calibrate SABR model in Python.
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The Python code is uploaded into https://github.com/AIMLModeling/SABR