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Patrick S. Hagan · Study
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Author
Patrick S. Hagan
8 works
· latest 2019
· 1 institutions
cluster: provisional
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8
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8
Citations
661
Works here
8
99
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Most cited in this library
Interpolation Methods for Curve Construction
2006 · 193 citations
Equivalent Black volatilities
1999 · 133 citations
Probability Distribution in the SABR Model of Stochastic Volatility
2015 · 107 citations
Arbitrage-Free SABR
2014 · 70 citations
Universal Smiles
2016 · 64 citations
Works
8 shown
LIBOR market model with SABR style stochastic volatility
·
2019
·
2 authors
37
citations
Managing Vol Surfaces
Wilmott
·
2018
·
3 authors
·
other
30
citations
Universal Smiles
Wilmott
·
2016
·
4 authors
64
citations
Probability Distribution in the SABR Model of Stochastic Volatility
Springer proceedings in mathematics & statistics
·
2015
·
3 authors
·
chapter
107
citations
Arbitrage-Free SABR
Wilmott
·
2014
·
4 authors
70
citations
Approximate Formulas for Zero‐coupon Bonds
Applied Mathematical Finance
·
2007
·
3 authors
27
citations
Interpolation Methods for Curve Construction
Applied Mathematical Finance
·
2006
·
2 authors
193
citations
Equivalent Black volatilities
Applied Mathematical Finance
·
1999
·
2 authors
133
citations