Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Modelis SABR× | Hull-White Model× | |
|---|---|---|
| Nozare | Kvantitatīvās finanses | Kvantitatīvās finanses |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2002 | 1990 |
| Autors≠ | Patrick S. Hagan | John C. Hull and Alan White |
| Tips | Interest Rate Model | Interest Rate Model |
| Pirmavots≠ | 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 ↗ |
| Citi nosaukumi≠ | Stochastic Volatility Model | Extended Vasicek, Generalized Vasicek |
| Saistītās | 4 | 4 |
| Kopsavilkums≠ | 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. |
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