Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Модель Hull-White× | Модель SABR× | |
|---|---|---|
| Галузь | Кількісні фінанси | Кількісні фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1990 | 2002 |
| Автор методу≠ | John C. Hull and Alan White | Patrick S. Hagan |
| Тип | Interest Rate Model | Interest Rate Model |
| Основоположне джерело≠ | 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 ↗ |
| Інші назви≠ | Extended Vasicek, Generalized Vasicek | Stochastic Volatility Model |
| Пов'язані | 4 | 4 |
| Підсумок≠ | 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. |
| ScholarGateНабір даних ↗ |
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