Mixing The SABR For Negative Rates: Analytical Arbitrage-Free Solution
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Presented by Alexander Antonov: Standard Chartered Bank
Dr. Alexander Antonov is a published author for multiple publications in mathematical finance, including RISK magazine and a frequent speaker at financial conferences.
- 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
Exact analytical solution for general correlation
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