Presented at Quant Summit Europe | April 2016

This presentation entitled “Solving Negative Rates Challenges: The Free Boundary SABR and the Mixture SABR” was given by Dr. Alexandre Antonov of Numerix at the Quant Summit Europe 2016 in London on April 13th.

The presentation addresses:

  • Comparison of SABR Simulated rates with the historical time-series
  • Free Boundary SABR (exact analytical solution for zero correlation and accurate approximation for the general correlation)
  • Normal Free SABR (exact analytical solution for general correlation)
  • Mixture SABR (mixing zero correlation Free SABR with the normal Free one: arbitrage free analytical solution via 1D integral)
  • Numerical results for joint calibration to swaptions and CMSs

 

Numerix Presenter Bio:

Dr. Alexandre Antonov, Senior Vice President, Quantitative Research, Numerix
Dr. Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997 and joined Numerix in 1998, where he currently works as a Senior Vice President of Quantitative Research. His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and XVA. In 2016 Dr. Antonov has received the Risk magazine Quant of the Year award.

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