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Learning the Exact SABR Model
Giorgia Rensi / Marco Bianchetti / Pietro Rossi
deep learning / interest ratesResource overview

Learning the Exact SABR Model

Paper2025

by Giorgia Rensi, Marco Bianchetti, Pietro Rossi

Tags
deep learninginterest ratesmodel calibrationmonte carlo simulationoption pricingvolatility surface

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Understand this paper

Suggested foundations for options and derivatives pricing and monte carlo and numerical simulation. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Laws of Large Numbers and the Central Limit Theorem

    Understand convergence, sampling error and confidence intervals.

  4. Random Number Generation

    Generate reproducible samples and distinguish randomness from model assumptions.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Monte Carlo Option Pricing

    Turn a discounted payoff into an estimator.

  3. Correlated Randoms and Low-Discrepancy Sequences

    Study dependence and alternatives to independent sampling.

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