{"id":100001656,"date":"2015-06-25T11:47:05","date_gmt":"2015-06-25T09:47:05","guid":{"rendered":"http:\/\/know-how-to-risk.com\/?p=100001656"},"modified":"2019-01-12T22:29:07","modified_gmt":"2019-01-12T21:29:07","slug":"white-paper-in-qualitative-finance","status":"publish","type":"post","link":"https:\/\/www.reacfin.com\/index.php\/2015\/06\/25\/white-paper-in-qualitative-finance\/","title":{"rendered":"Free Boundaries SABR"},"content":{"rendered":"<p>{&#8220;main-title&#8221;:{&#8220;component&#8221;:&#8221;hc_title&#8221;,&#8221;id&#8221;:&#8221;main-title&#8221;,&#8221;subtitle&#8221;:&#8221;Approaches for model assessment and validation&#8221;,&#8221;title_content&#8221;:{&#8220;component&#8221;:&#8221;hc_title_image&#8221;,&#8221;id&#8221;:&#8221;title-image&#8221;,&#8221;image&#8221;:&#8221;&#8221;,&#8221;full_screen&#8221;:false,&#8221;full_screen_height&#8221;:&#8221;&#8221;,&#8221;parallax&#8221;:false,&#8221;bleed&#8221;:&#8221;&#8221;,&#8221;ken_burn&#8221;:&#8221;&#8221;,&#8221;overlay&#8221;:&#8221;&#8221;,&#8221;breadcrumbs&#8221;:false,&#8221;white&#8221;:true},&#8221;title&#8221;:&#8221;Free Boundaries SABR&#8221;},&#8221;section_5ZtkF&#8221;:{&#8220;component&#8221;:&#8221;hc_section&#8221;,&#8221;id&#8221;:&#8221;section_5ZtkF&#8221;,&#8221;section_width&#8221;:&#8221;&#8221;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;vertical_row&#8221;:&#8221;&#8221;,&#8221;box_middle&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;section_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_vtfQF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_icon_list&#8221;,&#8221;id&#8221;:&#8221;OmGpy&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;color: #9C9C9C;&#8221;,&#8221;rows&#8221;:[{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;fM47b&#8221;,&#8221;icon&#8221;:&#8221;fa fa-info-circle&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;<b>Title : <\/b>Modeling negative interest rates with Free Boundaries SABR &#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;pwdCv&#8221;,&#8221;icon&#8221;:&#8221;fa fa-pencil&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;<b>Authors : <\/b>Sebastien de Valeriola, Wim Konings and Fran\u00e7ois Ducuroir&#8221;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;Nv6YP&#8221;,&#8221;icon&#8221;:&#8221;fa fa-calendar&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;<b>Date : <\/b>25 June 2015&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;D60Wn&#8221;,&#8221;icon&#8221;:&#8221;fa fa-bookmark&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;<b>Reference : <\/b>Reacfin White Paper 2015&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;98UzF&#8221;,&#8221;icon&#8221;:&#8221;fa fa-tags&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;<b>Key words : <\/b>Modeling &#8211; Qualitative Finance&#8221;}],&#8221;direction&#8221;:&#8221;vertical-icon-list&#8221;,&#8221;alignment&#8221;:&#8221;text-left&#8221;,&#8221;icon_position&#8221;:&#8221;&#8221;,&#8221;text_size&#8221;:&#8221;text-xs&#8221;,&#8221;icon_size&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;4DsgT&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;m&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_quote&#8221;,&#8221;id&#8221;:&#8221;Gbcci&#8221;,&#8221;css_classes&#8221;:&#8221;text-justify text-s &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Confronted with the current low-rates environment, many fixed income derivatives market professionals (investment banks, market makers, hedge funds, etc.) are reviewing possible solutions to adapt their derivatives pricers. It is particularly the case of those models assuming stochastic volatilities under SABR processes. A recent article published by the quant teams of Numerix\u00a0 proposes innovative solutions to go beyond the usual trivial approaches or \u201crates shifting\u201d solutions.\\n\\nIn this white paper we summarize our understanding of the article and propose an initial review of the main points of attention one should consider in the context of model assessment and its validation.&#8221;,&#8221;style&#8221;:&#8221;double_quote&#8221;,&#8221;author&#8221;:&#8221;Sebastien de Valeriola, Wim Konings and Fran\u00e7ois Ducuroir&#8221;},{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;tL6B7&#8243;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;m&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_button&#8221;,&#8221;id&#8221;:&#8221;hY1tl&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;icon&#8221;:&#8221;fa 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negative interest rates with Free Boundaries SABR Approaches\\n<br \/>\\n<a class=\\\"btn btn-sm\\\" style=\\\"margin-top:10px;\\\" href=\\\"https:\/\/www.reacfin.com\/wp-content\/uploads\/2016\/12\/150625-Reacfin-White-White-Paper-Free-Boundaries-SABR-Approaches-for-model-assessment-and-validation.pdf\\\" target=\\\"_blank\\\">         <i class=\\\"fa fa fa-file-pdf-o\\\"><\/i>Download<\/a>&#8220;,&#8221;extra_1&#8243;:&#8221;&#8221;,&#8221;extra_2&#8243;:&#8221;&#8221;,&#8221;icon&#8221;:{&#8220;icon&#8221;:&#8221;&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;}}}}<\/p>\n","protected":false},"excerpt":{"rendered":"<p>{&#8220;main-title&#8221;:{&#8220;component&#8221;:&#8221;hc_title&#8221;,&#8221;id&#8221;:&#8221;main-title&#8221;,&#8221;subtitle&#8221;:&#8221;Approaches for model assessment and validation&#8221;,&#8221;title_content&#8221;:{&#8220;component&#8221;:&#8221;hc_title_image&#8221;,&#8221;id&#8221;:&#8221;title-image&#8221;,&#8221;image&#8221;:&#8221;&#8221;,&#8221;full_screen&#8221;:false,&#8221;full_screen_height&#8221;:&#8221;&#8221;,&#8221;parallax&#8221;:false,&#8221;bleed&#8221;:&#8221;&#8221;,&#8221;ken_burn&#8221;:&#8221;&#8221;,&#8221;overlay&#8221;:&#8221;&#8221;,&#8221;breadcrumbs&#8221;:false,&#8221;white&#8221;:true},&#8221;title&#8221;:&#8221;Free Boundaries SABR&#8221;},&#8221;section_5ZtkF&#8221;:{&#8220;component&#8221;:&#8221;hc_section&#8221;,&#8221;id&#8221;:&#8221;section_5ZtkF&#8221;,&#8221;section_width&#8221;:&#8221;&#8221;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;vertical_row&#8221;:&#8221;&#8221;,&#8221;box_middle&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;section_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_vtfQF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_icon_list&#8221;,&#8221;id&#8221;:&#8221;OmGpy&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;color: #9C9C9C;&#8221;,&#8221;rows&#8221;:[{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;fM47b&#8221;,&#8221;icon&#8221;:&#8221;fa fa-info-circle&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Title : Modeling negative interest rates with Free Boundaries SABR &#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;pwdCv&#8221;,&#8221;icon&#8221;:&#8221;fa fa-pencil&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Authors : Sebastien de Valeriola, Wim Konings and Fran\u00e7ois Ducuroir&#8221;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;Nv6YP&#8221;,&#8221;icon&#8221;:&#8221;fa fa-calendar&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Date : 25 June 2015&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;D60Wn&#8221;,&#8221;icon&#8221;:&#8221;fa fa-bookmark&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Reference : Reacfin White Paper 2015&#8243;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;98UzF&#8221;,&#8221;icon&#8221;:&#8221;fa fa-tags&#8221;,&#8221;icon_style&#8221;:&#8221;&#8221;,&#8221;icon_image&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Key words : Modeling &#8211; Qualitative Finance&#8221;}],&#8221;direction&#8221;:&#8221;vertical-icon-list&#8221;,&#8221;alignment&#8221;:&#8221;text-left&#8221;,&#8221;icon_position&#8221;:&#8221;&#8221;,&#8221;text_size&#8221;:&#8221;text-xs&#8221;,&#8221;icon_size&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;4DsgT&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;m&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_quote&#8221;,&#8221;id&#8221;:&#8221;Gbcci&#8221;,&#8221;css_classes&#8221;:&#8221;text-justify text-s &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;Confronted with the current low-rates environment, [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":true,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[38],"tags":[30,59],"class_list":["post-100001656","post","type-post","status-publish","format-standard","hentry","category-white-papers","tag-model","tag-qualitative-finance"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.3 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Free Boundaries SABR | Reacfin<\/title>\n<meta name=\"description\" content=\"Reacfin is a consulting firm. 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