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Quantitative solutions

Latest publications

Below is an overview of the articles we recently issued regarding quantitative solutions such as SABR model, data analytics or Deloitte's basket option pricer.

Risk management under the SABR model

Indications regarding the use of SABR in daily risk-management under either the Black or the Normal variant

Risk management of interest-rate derivatives can lead to a variety of definitions for each of the Greeks. In this article we examine the differences brought by each of the choices. We also discuss the difference between the Normal and Black calibration spaces.

Risk management under the SABR model

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Calibration and pricing using the free SABR model

Features of the free SABR model

The SABR model has become the dominant tool for smile-interpolations in the interest-rate world. This article looks into some of the features of the free SABR model, in particular in the context of the negative-rate environment.

Calibration and pricing using the free SABR model

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Stability of the SABR model

Analysis of the stability of the SABR parameters across a range of historical data

This article investigates the stability of the SABR parameters across a range of historical data and describes some of the various factors that can affect the stability in both the Black and Normal calibration spaces.

Stability of the SABR model

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Conversion method of cap vols across tenors

The case of the 12M Euribor index

This article describes a simple procedure for approximating the cap volatility corresponding to the 12M Euribor tenor. We compare the resulting expression in the single- and dual-curve worlds.

Conversion method of cap vols across tenors

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Credit scoring

Case study in data analytics

This article presents some of the key features of Deloitte’s Data Analytics solutions in financial services. By taking advantage on the wealth of data now available, valuable new insights can be generated that help to rewrite the rulebook on decision-making.

Interest rate derivatives in the negative-rate environment

Pricing with a shift

This article describes a valuation methodology for pricing simple vanilla interest-rate derivatives in the current negative-rate environment. To do this, a shift is introduced in the SABR model which can then be used to extract a volatility in the negative strike domain. Various advantages of this method are being discussed and some snapshots of the Deloitte valuation tool are presented.

Interest rate derivatives in the negative-rate environment

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Accurate pricing of basket options

A pragmatic approach

This article presents some of the key features of Deloitte’s Basket Option Pricer which is designed to price multivariate derivatives in a market-consistent way (i.e. including the smile effect).

Accurate pricing of basket options

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