lefloch_smart_sabr.bib

@article{hagan2014arbitragetalk,
  title={Arbitrage free SABR},
  author={Hagan, Patrick S.},
  journal={Talk kept at Global Derivatives, Amsterdam},
  pages={14--15},
  year={2014}
}

@article{karlsmark2013sabr,
  title={SABR Excursions},
  author={Karlsmark, Morten},
  journal={Four Essays in Quantitative Finance},
  pages={13},
  year={2013},
  publisher={University of Copenhagen}
}
@article{andersen2005extended,
  title={Extended Libor Market Models with Stochastic Volatility},
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  journal={Journal of Computational Finance},
  volume={9},
  number={1},
  year={2005}
}

@article{storn1997differential,
  title={Differential evolution--a simple and efficient heuristic for global optimization over continuous spaces},
  author={Storn, Rainer and Price, Kenneth},
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  volume={11},
  number={4},
  pages={341--359},
  year={1997},
  publisher={Springer}
}

@article{levenberg1944method,
  title={A method for the solution of certain problems in least squares},
  author={Levenberg, Kenneth},
  journal={Quarterly of applied mathematics},
  volume={2},
  pages={164--168},
  year={1944}
}
@article{marquardt1963algorithm,
  title={An algorithm for least-squares estimation of nonlinear parameters},
  author={Marquardt, Donald W},
  journal={Journal of the Society for Industrial \& Applied Mathematics},
  volume={11},
  number={2},
  pages={431--441},
  year={1963},
  publisher={SIAM}
}

@article{johnson2009arbitrage,
  title={Arbitrage-free construction of the swaption cube},
  author={Johnson, Simon and Nonas, Bereshad},
  journal={Wilmott Journal},
  volume={1},
  number={3},
  pages={137--143},
  year={2009},
  publisher={Wiley Online Library}
}

@article{forde2012small,
  title={The small-time smile and term structure of implied volatility under the Heston model},
  author={Forde, Martin and Jacquier, Antoine and Lee, Roger},
  journal={SIAM Journal on Financial Mathematics},
  volume={3},
  number={1},
  pages={690--708},
  year={2012},
  publisher={SIAM}
}


@techreport{benaim2008arbitrage,
  title={An arbitrage-free method for smile extrapolation},
  author={Benaim, Shalom and Dodgson, Matthew and Kainth, Dherminder},
  year={2008},
  institution={Working Paper, QuaRC, Royal Bank of Scotland}
}

@article{lefloch2014fdmsabr,
 title={Finite difference techniques for arbitrage free SABR},
  author={{Le Floc'h}, Fabien and Kennedy, Gary},
  journal={SSRN eLibrary},
  note={\url{http://papers.ssrn.com/abstract=2402001}},
  year={2014},
  publisher={SSRN}
}
@article{li2011adaptive,
  title={An adaptive successive over-relaxation method for computing the Black--Scholes implied volatility},
  author={Li, Minqiang and Lee, Kyuseok},
  journal={Quantitative Finance},
  volume={11},
  number={8},
  pages={1245--1269},
  year={2011},
  publisher={Taylor \& Francis}
}
@misc{jackel2013let,
  title={Let’s be rational},
  author={J{\"a}ckel, Peter},
  year={2013},
  note={\url{http://www.pjaeckel.webspace.virginmedia.com/LetsBeRational.pdf}},
  accessed={03-April-2014}  
}

@article{lefloch2014nelder,
 title={Issues of Nelder-Mead Simplex Optimisation with Constraints},
  author={{Le Floc'h}, Fabien},
  journal={SSRN eLibrary},
  note={\url{http://papers.ssrn.com/abstract=2097904}},
  year={2012},
  publisher={SSRN}
}
@article{lefloch2014bpvol,
 title={Fast and Accurate Analytic Basis Point Volatility},
  author={{Le Floc'h}, Fabien},
  journal={SSRN eLibrary},
  note={\url{http://papers.ssrn.com/abstract=2420757}},
  year={2014},
  publisher={SSRN}
}
@article{hagan2002managing,
  title={Managing smile risk},
  author={Hagan, Patrick S and Kumar, Deep and Lesniewski, Andrew S and Woodward, Diana E},
  journal={Wilmott magazine},
  year={2002}
}

@article{hagan2013arbitrage,
  title={Arbitrage free SABR},
  author={Hagan, Patrick S and Kumar, Deep and Lesniewski, Andrew S and Woodward, Diana E},
  journal={Wilmott magazine},
  year={2014}
}

@article{andreasen2011zabr,
  title={ZABR--Expansions for the Masses},
  author={Andreasen, Jesper and Huge, Brian},
  journal={Available at SSRN 1980726},
  year={2011}
}

@article{paulot2009asymptotic,
  title={Asymptotic implied volatility at the second order with application to the SABR model},
  author={Paulot, Louis},
  journal={Available at SSRN 1413649},
  year={2009}
}

@article{obloj2008fine,
  title={Fine-tune your smile: Correction to Hagan et al},
  author={Obl{\'o}j, Jan},
  journal={Wilmott Magazine},
  volume={May/June},
  year={2008}
}

@article{lorig2014implied,
  title={Explicit implied vols for multifactor local-stochastic vol models},
  author={Lorig, Matthew and Pagliarani, Stefano and Pascucci, Andrea},
  journal={arXiv preprint arXiv:1306.5447v3},
  year={2014}
}
@article{gauthier2009fitting,
  title={Fitting the smile, Smart parameters for SABR and Heston},
  author={Gauthier, Pierre and Rivaille, Pierre-Yves Henri},
  journal={Smart Parameters for SABR and Heston (October 30, 2009)},
  year={2009}
}
@article{west2005calibration,
  title={Calibration of the SABR model in illiquid markets},
  author={West, Graeme},
  journal={Applied Mathematical Finance},
  volume={12},
  number={4},
  pages={371--385},
  year={2005},
  publisher={Taylor \& Francis}
}