A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula

arXiv:2605.06604 · q-fin.CP, stat.ML · Submitted 2026-05-07 · Read on arXiv

q-fin.CP, stat.ML

Submitted: 2026-05-07

Updated: 2026-09-06

Comments: 33 pages, 17 figures

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Accuracy — 28× in this paper · explained in 1 episode
• Calibration — 19× in this paper · explained in 7 episodes
• Robustness — 17× in this paper · explained in 5 episodes
• Generalization — 13× in this paper · explained in 13 episodes
• Interpretability — 8× in this paper · explained in 15 episodes
• alpha — 4× in this paper · explained in 1 episode
• Benchmark — 3× in this paper · explained in 2 episodes
• Consistency — 3× in this paper · explained in 3 episodes
• Stochastic Alpha Beta Rho — 3× in this paper
• Abu Dhabi Investment Authority — 2× in this paper
• Core — 2× in this paper · explained in 2 episodes
• Fidelity — 2× in this paper · explained in 2 episodes
• Systematic Bias — 2× in this paper · explained in 3 episodes
• Adam — 1× in this paper · explained in 2 episodes
• Admissibility — 1× in this paper · explained in 2 episodes
• Alignment — 1× in this paper · explained in 1 episode
• Clustering — 1× in this paper · explained in 2 episodes
• Constant Elasticity of Variance — 1× in this paper
• Diffusion Model — 1× in this paper · explained in 8 episodes
• Feature Extraction — 1× in this paper · explained in 2 episodes
• Homogeneity — 1× in this paper · explained in 2 episodes
• Hybrid Approach — 1× in this paper · explained in 4 episodes
• Loss Function — 1× in this paper · explained in 2 episodes
• Residualization — 1× in this paper · explained in 2 episodes

Sources

• Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction
• Deep Learning Volatility
• Asymptotic Implied Volatility at the Second Order with Application to the SABR Model

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