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SABR Model Extensions for Negative Rates
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Utvidgningar av SABR-modellen till negativa räntor (Swedish)
Abstract [en]

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. Numerical experiments are performed on these models to assess their performance, in particular we detail the calibration process for the Mixture SABR and apply it on market data.

Abstract [sv]

I den här rapporten presenterar vi utvidgningar av SABR modellen till negativa räntor på swaption marknaden. Vi börjar med att översiktligt presentera den klassiska SABR modellen. Därefter studerar vi Shifted, Free Boundary and Mixture SABR modeller. Vidare utförs numeriska experiment på dessa modeller för att utvärdera dem. Speciellt förklaras kalibreringsprocessen i mer detalj för Mixture SABR och den tillämpas sedan på marknads data.

Place, publisher, year, edition, pages
2017.
Series
TRITA-MAT-E, 2017:22
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-207958OAI: oai:DiVA.org:kth-207958DiVA: diva2:1110799
External cooperation
AXA Investment Managers
Subject / course
Financial Mathematics
Educational program
Master of Science in Engineering -Engineering Physics
Supervisors
Examiners
Available from: 2017-06-16 Created: 2017-06-16 Last updated: 2017-06-16Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf