Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Model Hull-White× | Model SABR× | |
|---|---|---|
| Obor | Kvantitativní finance | Kvantitativní finance |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1990 | 2002 |
| Tvůrce≠ | John C. Hull and Alan White | Patrick S. Hagan |
| Typ | Interest Rate Model | Interest Rate Model |
| Původní zdroj≠ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ |
| Další názvy≠ | Extended Vasicek, Generalized Vasicek | Stochastic Volatility Model |
| Příbuzné | 4 | 4 |
| Shrnutí≠ | 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. | 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. |
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