Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель SABR× | Модель Халла-Уайта× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 2002 | 1990 |
| Автор метода≠ | Patrick S. Hagan | John C. Hull and Alan White |
| Тип | Interest Rate Model | Interest Rate Model |
| Основополагающий источник≠ | 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 ↗ |
| Другие названия≠ | Stochastic Volatility Model | Extended Vasicek, Generalized Vasicek |
| Связанные | 4 | 4 |
| Сводка≠ | 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 данных ↗ |
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