Essays about: "shifted SABR model"

Found 3 essays containing the words shifted SABR model.

1. 1. 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

3. 2. 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

4. 3. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation

   University essay from Lunds universitet/Matematisk statistik

   Author : Mattias Jönsson; Ulrica Såmark; [2016]
   Keywords : Multi Curve; Volatility Transformation; Negative Rates; shifted SABR; non-standard Tenor; Caps; EUR Market; Mathematics and Statistics;

   Abstract : 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