Dr. Alexander Antonov's Webinar: MIXING THE SABR FOR NEGATIVE RATES: ANALYTICAL ARBITRAGE-FREE SOLUTION

Dr. Alexander Antonov is a published author for multiple publications in mathematical finance, including RISK magazine and a frequent speaker at financial conferences.

MIXING THE SABR FOR NEGATIVE RATES: ANALYTICAL ARBITRAGE-FREE SOLUTION

  • Negative rates for the SABR model: beyond the simple shift
  • Free Boundary SABR

  Exact analytical solution for zero correlation and accurate approximation for the general correlation

  • Normal Free SABR

  Exact analytical solution for general correlation

  • New Mixture SABR

  Mixing zero correlation Free SABR with the normal Free one; arbitrage free analytical solution via 1D integral

  • Numerical results and conclusion

  Joint calibration to swaptions and CMS’s; comparison of the Shifted, Free and Mixture SABR: the clear winner is the mixture SABR

Recorded Webinar