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| Модел SABR× | Модел на Хъл-Уайт× | |
|---|---|---|
| Област | Количествени финанси | Количествени финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 2002 | 1990 |
| Създател≠ | Patrick S. Hagan | John C. Hull and Alan White |
| Тип | Interest Rate Model | Interest Rate Model |
| Основополагащ източник≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| Други названия≠ | Stochastic Volatility Model | Extended Vasicek, Generalized Vasicek |
| Свързани | 4 | 4 |
| Резюме≠ | The SABR (Stochastic Alpha-Beta-Rho) model is a stochastic volatility framework introduced by Hagan et al. in 2002 for valuing interest rate derivatives. It captures the smile effect in implied volatility through correlated Brownian motions and has become industry standard for swaption and caplet pricing. | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. |
| ScholarGateНабор от данни ↗ |
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