Essays about: "shifted SABR"
Found 3 essays containing the words shifted SABR.
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1. Pricing Interest Rate Derivatives in a Negative Yield Environment
University essay from Göteborgs universitet/Graduate SchoolAbstract : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. READ MORE
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2. SABR Model Extensions for Negative Rates
University essay from KTH/Matematisk statistikAbstract : In this report, we present extensions of the SABR model to negative rates applied to the swaption market. We start by briefly presenting the classical SABR model. Then we study the Shifted, Free Boundary and Mixture SABR Models. READ MORE
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3. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation
University essay from Lunds universitet/Matematisk statistikAbstract : The SABR model has for a long time been an invaluable tool for capturing the volatility smile and to price nancial derivatives not quoted in the market. However, the current negative rate environment in the EUR market has led to numerous challenges for nancial institutions. READ MORE