英文标题：
《Affine LIBOR models with multiple curves: theory, examples and
calibration》
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作者：
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
我们引入了一个多曲线框架，该框架将可处理动态和半解析定价公式与正利率和基差相结合。负利率和正利差也可以在这个框架中进行调整。OIS和LIBOR利率的动态是按照仿射LIBOR模型的方法规定的，并由广泛而灵活的仿射过程驱动。仿射性质保留在正向测度下，这使我们能够推导出上限、交换期权和基础交换期权的傅里叶定价公式。开发了一个具有相关LIBOR利率的模型规范，该规范允许对caplet价格系统进行有效且准确的校准。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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