Essays about: "SABR"

Showing result 1 - 5 of 9 essays containing the word SABR.

  1. 1. Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Niclas Samuelsson; [2021]
    Keywords : fixed income; interest rate derivatives; swaption; cap;

    Abstract : Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. READ MORE

  3. 2. Anticipated Events’ Impact on FX Options’ Implied Volatility

    University essay from Lunds universitet/Matematisk statistik

    Author : Frej Håkansson; Björn Nilsson; [2018]
    Keywords : Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

    Abstract : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. READ MORE

  4. 3. Pricing Interest Rate Derivatives in a Negative Yield Environment

    University essay from Göteborgs universitet/Graduate School

    Author : Lavinia Rognone; [2017-07-26]
    Keywords : Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Abstract : 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

  5. 4. SABR Model Extensions for Negative Rates

    University essay from KTH/Matematisk statistik

    Author : Najib Jamjam; [2017]
    Keywords : ;

    Abstract : 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

  6. 5. Extracting volatility smiles from historical spot data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Larsson; [2017]
    Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE