Calibrating and completing the volatility cube in the SABR Model

  • This report describes the calibration and completion of the volatility cube in the SABR model. The description is based on a project done for Assenagon GmbH in Munich. However, we use fictitious market data which resembles realistic market data. The problem posed by our client is formulated in section 1. Here we also motivate why this is a relevant problem. The SABR model is briefly reviewed in section 2. Section 3 discusses the calibration and completion of the volatility cube. An example is presented in section 4. We conclude by suggesting possible future research in section 5.

Export metadata

  • Export Bibtex
  • Export RIS

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:G. Dimitroff, J. de Kock
URN (permanent link):urn:nbn:de:hbz:386-kluedo-16894
Serie (Series number):Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (202)
Document Type:Report
Language of publication:English
Year of Completion:2011
Year of Publication:2011
Publishing Institute:Fraunhofer-Institut für Techno- und Wirtschaftsmathematik
Tag:calls ; options ; puts ; swap ; volatility
Faculties / Organisational entities:Fraunhofer (ITWM)
DDC-Cassification:510 Mathematik

$Rev: 12793 $