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by Mebiles
February 8th, 2011, 10:15 pm
Forum: Student Forum
Topic: SABR/LMM for dissertation?
Replies: 8
Views: 23240

SABR/LMM for dissertation?

<t>QuoteOriginally posted by: HansiWell I agree with Gmike2000 that the SABR/LMM model is a good exercise for a dissertation and providing a critique of it's limitations can be a great topic and if you do it well will lead to a good grade. It will also give you exposure to the basic SABR and LMM mod...
by Mebiles
February 8th, 2011, 2:51 pm
Forum: Student Forum
Topic: SABR/LMM for dissertation?
Replies: 8
Views: 23240

SABR/LMM for dissertation?

<t>Thank you very much for the replies they are quite helpful. About the code, I have some coding experience I think I can handle it. However about the model, I now have some question marks because I don't want to end up having done my dissertation about a poor model. Anyway I wait my professor's re...
by Mebiles
February 5th, 2011, 6:08 pm
Forum: Student Forum
Topic: SABR/LMM for dissertation?
Replies: 8
Views: 23240

SABR/LMM for dissertation?

<t>QuoteOriginally posted by: Gmike2000The problem with the classic SABR is that you can hardly control the far out strikes...their vol becomes too high. Also it may allow arbitrage for very low strikes. You will end up mispricing CMS products for example. In my opinion, a 2 factor short rate model ...
by Mebiles
February 4th, 2011, 3:49 pm
Forum: Student Forum
Topic: SABR/LMM for dissertation?
Replies: 8
Views: 23240

SABR/LMM for dissertation?

<t>Hello everyone,I am new in the forum so I am not sure if this is a valid post but anyways,I am currently doing MSc in Financial Engineering and I want to do something about interest rates for my dissertation. I have been searching the literature and I also asked few people and I have decided to d...
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