network profile
| bio | website | |
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| age | ||
| visits | member for | 1 year, 8 months |
| seen | Sep 27 '11 at 23:38 | |
| stats | profile views | 7 |
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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 |
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Sep 27 |
awarded | Student |
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Sep 27 |
asked | Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)? |
