{"id":"https://openalex.org/W1131399","doi":"https://doi.org/10.2139/ssrn.2557046","title":"The Free Boundary SABR: Natural Extension to Negative Rates","display_name":"The Free Boundary SABR: Natural Extension to Negative Rates","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W1131399","doi":"https://doi.org/10.2139/ssrn.2557046","mag":"1131399"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.2557046","doi":"https://doi.org/10.2139/ssrn.2557046","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2557046","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2557046","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5077344110","display_name":"Alexandre Antonov","orcid":"https://orcid.org/0009-0002-6272-7224","observed_orcids":["https://orcid.org/0009-0002-6272-7224","https://orcid.org/0000-0002-8511-9435"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Alexandre Antonov","raw_affiliation_strings":["Danske Bank - Danske Markets, Holmens Kanal 2-12, DK-1092 Copenhagen K, Denmark","Danske Bank - Danske Markets"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Danske Bank - Danske Markets, Holmens Kanal 2-12, DK-1092 Copenhagen K, Denmark","institution_ids":[]},{"raw_affiliation_string":"Danske Bank - Danske Markets","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5015899557","display_name":"Michael Konikov","orcid":"https://orcid.org/0009-0000-7696-2968","observed_orcids":["https://orcid.org/0009-0000-7696-2968"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael Konikov","raw_affiliation_strings":["Numerix, 99 Park Avenue, 5th Floor, New York, NY 10016, United States","Numerix"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Numerix, 99 Park Avenue, 5th Floor, New York, NY 10016, United States","institution_ids":[]},{"raw_affiliation_string":"Numerix","institution_ids":[]}]},{"author_position":"last","author":{"id":null,"display_name":"Michael Spector","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael Spector","raw_affiliation_strings":["Numerix, 99 Park Avenue, 5th Floor, New York, NY 10016, United States","Numerix"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Numerix, 99 Park Avenue, 5th Floor, New York, NY 10016, United States","institution_ids":[]},{"raw_affiliation_string":"Numerix","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5077344110"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":39,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sabr-model","display_name":"SABR model","score":0.9409999847412109},{"id":"https://openalex.org/keywords/free-boundary","display_name":"free boundary","score":0.621999979019165},{"id":"https://openalex.org/keywords/negative-interest-rates","display_name":"negative interest rates","score":0.9950000047683716},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.8730000257492065},{"id":"https://openalex.org/keywords/zero-correlation","display_name":"zero correlation","score":0.5149999856948853},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.5320000052452087},{"id":"https://openalex.org/keywords/low-interest-rates","display_name":"low interest rates","score":0.5569999814033508},{"id":"https://openalex.org/keywords/analytical-pricing-formula","display_name":"analytical pricing formula","score":0.5379999876022339}],"concepts":[{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.7180982828140259},{"id":"https://openalex.org/C2778029271","wikidata":"https://www.wikidata.org/wiki/Q5421931","display_name":"Extension (predicate logic)","level":2,"score":0.5564605593681335},{"id":"https://openalex.org/C2776608160","wikidata":"https://www.wikidata.org/wiki/Q4785462","display_name":"Natural (archaeology)","level":2,"score":0.5141189694404602},{"id":"https://openalex.org/C62354387","wikidata":"https://www.wikidata.org/wiki/Q875399","display_name":"Boundary (topology)","level":2,"score":0.42826491594314575},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2846461236476898},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24126744270324707},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.20307785272598267},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.19367775321006775},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.17840445041656494},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.08681407570838928},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.2557046","doi":"https://doi.org/10.2139/ssrn.2557046","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2557046","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2557046","doi":"https://doi.org/10.2139/ssrn.2557046","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2557046","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Responsible consumption and production","id":"https://metadata.un.org/sdg/12","score":0.4699999988079071}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W604127582","https://openalex.org/W1588690085","https://openalex.org/W1997534286","https://openalex.org/W2106571402","https://openalex.org/W2120945818","https://openalex.org/W2167129367","https://openalex.org/W2167560270","https://openalex.org/W4243551594","https://openalex.org/W4301088890"],"related_works":["https://openalex.org/W2941793708","https://openalex.org/W2256229364","https://openalex.org/W3010707414","https://openalex.org/W2807494960","https://openalex.org/W2756403844","https://openalex.org/W4244982869","https://openalex.org/W3122892361","https://openalex.org/W1997534286","https://openalex.org/W7113012036","https://openalex.org/W2737411557"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}