Essays about: "Swaption"

Showing result 11 - 15 of 15 essays containing the word Swaption.

  1. 11. The SABR Model : Calibrated for Swaption's Volatility Smile

    University essay from Akademin för utbildning, kultur och kommunikation

    Author : Nguyen Tran; Anton Weigardh; [2014]
    Keywords : SABR; Volatility smile; Swaption; Stochastic volatility; Black-Scholes model;

    Abstract : Problem: The standard Black-Scholes framework cannot incorporate the volatility smiles usually observed in the markets. Instead, one must consider alternative stochastic volatility models such as the SABR. Little research about the suitability of the SABR model for Swedish market (swaption) data has been found. READ MORE

  3. 12. Calculating sensitivities in the SABR/LIBOR market model for European swaptions

    University essay from Institutionen för fysik

    Author : Moa Hållberg; [2012]
    Keywords : Swaptions; market model; SABR; LIBOR; SABR LIBOR; Sensitivities; Greeks; Vega; Vomma; Volatility smile;

    Abstract : This article presents a new approach for calculating sensitivities of European swaptions. The sensitivities are found by applying an adjoint method to a stochastic volatility model, namely the SABR/LIBOR market model. READ MORE

  4. 13. Swaption pricing and isolating volatility exposure

    University essay from Institutionen för matematik och matematisk statistik

    Author : Tomas Forsberg; [2011]
    Keywords : swaption; option; volatility; swap; interest rate; black scholes; trading;

    Abstract : Starting from basic financial mathematics, we cover the mathematics of pricing swaptions, options on interest rate swaps. We then continue to the topic of obtaining an approximately pure volatility exposure. READ MORE

  5. 14. Dynamic hedging of swaptions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Emil Lauri; Alexander Milles; [2009]
    Keywords : Hedging; swaption; Black model; CEV model;

    Abstract : This thesis shows that strictly following the Black model exposes the user to unexpected risk when hedging swaptions. The results emphasize that the strike offset and time to expiry have explanatory power for the hedging performance of the Black model. READ MORE

  6. 15. An Assessment of the BGM-model Swap Option Pricing Performance in the Swedish Interest Rate Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mikko Andersson; Fredrik Lööw; [2006]
    Keywords : Interest Rate Options; BGM-model; STIBOR;

    Abstract : In this thesis the ability of a full-factor and a two-factor BGM-model to determine current and predict future plain-vanilla swaption prices issued on the Stockholm Interbank Offered Rate (STIBOR) is assessed. The study is conducted on daily data from January 4 to December 30, 2005. READ MORE