Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo de Hull-White× | Modelo SABR× | |
|---|---|---|
| Área | Finanças quantitativas | Finanças quantitativas |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1990 | 2002 |
| Autor original≠ | John C. Hull and Alan White | Patrick S. Hagan |
| Tipo | Interest Rate Model | Interest Rate Model |
| Fonte seminal≠ | 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 ↗ |
| Outros nomes≠ | Extended Vasicek, Generalized Vasicek | Stochastic Volatility Model |
| Relacionados | 4 | 4 |
| Resumo≠ | 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. |
| ScholarGateConjunto de dados ↗ |
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