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FREE WEBINAR: Mixing The Sabr For Negative Rates: Analytical Arbitrage-Free Solution

 
00:00

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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Topic

SABR

Published date

6 November 2015

Price

£0.00

Presenter Bio

Alexander Antonov

Dr. Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined Numerix in 1998, where he currently works as a Senior Vice President of Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA. Dr. Antonov is a published author for multiple publications in mathematical finance, including RISK magazine and a frequent speaker at financial conferences.

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