英文标题：
《Affine LIBOR models driven by real-valued affine processes》
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作者：
Stefan Waldenberger and Wolfgang M\\\"uller
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最新提交年份：
2015
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英文摘要：
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction, which makes it hard to produce volatility smiles. We modify the affine LIBOR models in such a way that real-valued affine processes can be used without destroying the nonnegativity of interest rates. Numerical examples show that in this class of models pronounced volatility smiles are possible.
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中文摘要：
仿射伦敦银行同业拆借利率模型满足利率建模的三个核心要求，因此极具吸引力。它是无套利的，利率是非负的，caplet和swaption价格可以通过分析计算得出。为了保证非负利率，仿射LIBOR模型由非负仿射过程驱动，这是一个限制，使得很难产生波动。我们对仿射LIBOR模型进行了修改，使得在不破坏利率非负性的情况下，可以使用实值仿射过程。数值例子表明，在这类模型中，显著的波动微笑是可能的。
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分类信息：

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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