FREE WEBINAR: Mixing The Sabr For Negative Rates: Analytical Arbitrage-Free Solution
Presenter: Alexander Antonov: Senior Vice President, Quantitative Research, Numerix.
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
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