network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Feb 23 '11 at 9:15 | |
| stats | profile views | 4 |
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Feb 23 |
awarded | Scholar |
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Feb 23 |
awarded | Supporter |
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Feb 23 |
accepted | What SABR $\beta$ to use for EURIBOR swaption smiles |
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Feb 23 |
comment |
What SABR $\beta$ to use for EURIBOR swaption smiles I agree with the rest of your answer. The plotting method discussed by Hagan et al. (for potential outside readers: javaquant.net/papers/hagan_2002_managing.pdf) is indeed not very "fulfilling" if you ask me. The SABR beta seems to require a bit more attention, if you NEED to get the "correct" value - if you merely want to fit an observed smile (say, for interpolation) pretty much any beta will do. Thanks a lot for your very relevant reply! |
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Feb 23 |
comment |
What SABR $\beta$ to use for EURIBOR swaption smiles Thanks a lot for the tip on the Mercurio paper! I thought I had read pretty much all the articles on the subject, but this was missing. |
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Feb 21 |
awarded | Student |
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Feb 21 |
asked | What SABR $\beta$ to use for EURIBOR swaption smiles |
