x********i
发帖数: 905 | 1 It is said Heston model is the most popular, so which one i s better, or
incomparable?
Thanks a lot! |
T******r
发帖数: 257 | 2 they are popular in academics only.
【在 x********i 的大作中提到】
: It is said Heston model is the most popular, so which one i s better, or
: incomparable?
: Thanks a lot!
|
p*x
发帖数: 260 | 3 两个都是非常成功的model,在工业界应用很广. |
y*********8
发帖数: 3 | 4 They are very similar models. Both attempt to capture the skew by the so-
called "correlation", and the kurtusis by "vol-of-vol". SABR is a little
simpler than Heston in terms of presentation, and has an analytical solution
for the vanilla price, while Heston has a FFT calculation for the vanilla
price. So both of them can be calibrated to vanillas faster than Monte Carlo.
However, none of them can easily calibrate to the term structure of vol
surface. |
c******s
发帖数: 270 | 5 Heston has an analytical solution for vanilla |
r*******p
发帖数: 97 | 6 SABR (Hagen) model is standard for swaption, CMS etc... the calibration of
term structure is just fine and quite stable.
Heston seems not popular in fix income... maybe more so in equity
solution
Carlo.
【在 y*********8 的大作中提到】
: They are very similar models. Both attempt to capture the skew by the so-
: called "correlation", and the kurtusis by "vol-of-vol". SABR is a little
: simpler than Heston in terms of presentation, and has an analytical solution
: for the vanilla price, while Heston has a FFT calculation for the vanilla
: price. So both of them can be calibrated to vanillas faster than Monte Carlo.
: However, none of them can easily calibrate to the term structure of vol
: surface.
|
z****u
发帖数: 185 | 7 SABR is popular in interest rate modeling while Heston is popular in equity
modelling. Many quants like Heston as it is an affine-model with a semi-
analytical solution, and it captures most of the features needed for skew
modeling. On the other hand, SABR does not have the mean-reversion feature
of the vol.
Both models have limited calibration capability.
【在 x********i 的大作中提到】
: It is said Heston model is the most popular, so which one i s better, or
: incomparable?
: Thanks a lot!
|
p*x
发帖数: 260 | 8 纠正一下是Hagan
虽然他不是我老板，只是成员之一。
想不到这么多人对他的东东感兴趣。
【在 r*******p 的大作中提到】
: SABR (Hagen) model is standard for swaption, CMS etc... the calibration of
: term structure is just fine and quite stable.
: Heston seems not popular in fix income... maybe more so in equity
:
: solution
: Carlo.
|
