## 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.

Author: G. Dimitroff, J. de Kock urn:nbn:de:hbz:386-kluedo-16894 Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (202) Report English 2011 2011 Fraunhofer-Institut für Techno- und Wirtschaftsmathematik 2011/03/02 calls ; options ; puts ; swap ; volatility Fraunhofer (ITWM) 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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