Swaption pricing with SABR model

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dc.contributor.advisorKangro, Raul, juhendaja
dc.contributor.authorDanielyan, Karen
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2020-07-01T12:05:23Z
dc.date.available2020-07-01T12:05:23Z
dc.date.issued2020
dc.description.abstractThe purpose of this Master’s thesis is to present the SABR and shifted SABR models and perform a calibration procedure on the Euribor and Libor swaptions’ volatility cube. The first chapter focuses on the mathematical preliminaries for interest rate derivatives and money market. The second chapter tackles the classical option pricing models, in particular Black-76 model. The third chapter introduces SABR model and Hagan’s approximation formulas, as well as the shifted SABR and the effects of SABR parameters on the volatility smiles and skews. Finally, the last chapter shows the detailed procedure of calibration of the Euribor and Libor volatility cubes, validation of the fit and some market data engineering examples referencing to the python code in the appendix.en
dc.identifier.urihttp://hdl.handle.net/10062/68237
dc.language.isoenget
dc.rightsopenAccesset
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectSABRet
dc.subjectsvaptsioonide volatiilsuset
dc.subjectvolatiilsuste kalibreerimineet
dc.subjectvolatiilsuspindet
dc.subjectvolatiilsuskõveret
dc.subjectvolatiilsusniheet
dc.subjectnegatiivne intressimääret
dc.subjectLiboret
dc.subjectEuriboret
dc.subjecthinnapakkumise modelleerimineet
dc.subjectquote engineeringen
dc.subjectnegative ratesen
dc.subjectvolatility skewen
dc.subjectvolatility smileen
dc.subjectvolatility surfaceen
dc.subjectvolatility cube calibrationen
dc.subjectswaption volatility cubeen
dc.subject.otherPython (programmeerimiskeel)et
dc.subject.otherPythonen
dc.titleSwaption pricing with SABR modelen
dc.typeinfo:eu-repo/semantics/masterThesiset

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