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Apr
14
awarded  Popular Question
Sep
27
comment Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?
That was a question @ a BNP Paribas interview. I have to admit that I had no clue about the answer although I see the advantages of the SABR dynamics and the way it improved the delta hedging (as explained in the "founding" article). I still remember the interviewer mentioning higher rates and maturities though
Sep
27
awarded  Student
Sep
27
asked Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)?