Affine LIBOR models with multiple curves: theory, examples and calibration

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Standard

Affine LIBOR models with multiple curves : theory, examples and calibration. / Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David.

I: SIAM Journal on Financial Mathematics, Bind 6, Nr. 1, 2015, s. 984–1025.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Grbac, Z, Papapantoleon, A, Schoenmakers, J & Skovmand, D 2015, 'Affine LIBOR models with multiple curves: theory, examples and calibration', SIAM Journal on Financial Mathematics, bind 6, nr. 1, s. 984–1025. https://doi.org/10.1137/15M1011731

APA

Grbac, Z., Papapantoleon, A., Schoenmakers, J., & Skovmand, D. (2015). Affine LIBOR models with multiple curves: theory, examples and calibration. SIAM Journal on Financial Mathematics, 6(1), 984–1025. https://doi.org/10.1137/15M1011731

Vancouver

Grbac Z, Papapantoleon A, Schoenmakers J, Skovmand D. Affine LIBOR models with multiple curves: theory, examples and calibration. SIAM Journal on Financial Mathematics. 2015;6(1):984–1025. https://doi.org/10.1137/15M1011731

Author

Grbac, Zorana ; Papapantoleon, Antonis ; Schoenmakers, John ; Skovmand, David. / Affine LIBOR models with multiple curves : theory, examples and calibration. I: SIAM Journal on Financial Mathematics. 2015 ; Bind 6, Nr. 1. s. 984–1025.

Bibtex

@article{5bb2dfff5c9f426ebdb29feb2ad34560,
title = "Affine LIBOR models with multiple curves: theory, examples and calibration",
abstract = "We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which allows us to derive Fourier pricing formulas for caps, swaptions and basis swaptions. A model specification with dependent LIBOR rates is developed, that allows for an efficient and accurate calibration to a system of caplet prices.",
keywords = "q-fin.MF, math.PR, q-fin.PR, 91G30, 91G20, 60G44",
author = "Zorana Grbac and Antonis Papapantoleon and John Schoenmakers and David Skovmand",
note = "42 pages, 11 figures. Updated version, added section on negative rates and positive spreads",
year = "2015",
doi = "10.1137/15M1011731",
language = "English",
volume = "6",
pages = "984–1025",
journal = "SIAM Journal on Financial Mathematics",
issn = "1945-497X",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "1",

}

RIS

TY - JOUR

T1 - Affine LIBOR models with multiple curves

T2 - theory, examples and calibration

AU - Grbac, Zorana

AU - Papapantoleon, Antonis

AU - Schoenmakers, John

AU - Skovmand, David

N1 - 42 pages, 11 figures. Updated version, added section on negative rates and positive spreads

PY - 2015

Y1 - 2015

N2 - We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which allows us to derive Fourier pricing formulas for caps, swaptions and basis swaptions. A model specification with dependent LIBOR rates is developed, that allows for an efficient and accurate calibration to a system of caplet prices.

AB - We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which allows us to derive Fourier pricing formulas for caps, swaptions and basis swaptions. A model specification with dependent LIBOR rates is developed, that allows for an efficient and accurate calibration to a system of caplet prices.

KW - q-fin.MF

KW - math.PR

KW - q-fin.PR

KW - 91G30, 91G20, 60G44

U2 - 10.1137/15M1011731

DO - 10.1137/15M1011731

M3 - Journal article

VL - 6

SP - 984

EP - 1025

JO - SIAM Journal on Financial Mathematics

JF - SIAM Journal on Financial Mathematics

SN - 1945-497X

IS - 1

ER -

ID: 188789238